Evaluation of Basel III revision of quantitative standards for implementation of internal models for market risk

Evaluation of Basel III revision of quantitative standards for implementation of internal models for market risk

Show other versions (1)

This paper studies revisions under Basel III for market risk which allow conservative combination of short and long period Value-at-Risks (VaRs). This is the first study that examines this issue. The performance of the combination method is evaluated through regulatory back tests, unconditional and...

Full description

Bibliographic Details
Main Author: Meera Sharma
Format: Article
Language:English
Published: Elsevier 2012-12-01
Series:IIMB Management Review
Subjects:
Basel III
Conditional coverage
Historical simulation
Unconditional coverage
Value-at-risk
Online Access:http://www.sciencedirect.com/science/article/pii/S0970389612000778
Description
Summary:This paper studies revisions under Basel III for market risk which allow conservative combination of short and long period Value-at-Risks (VaRs). This is the first study that examines this issue. The performance of the combination method is evaluated through regulatory back tests, unconditional and conditional coverage tests. The combination improves performance in regulatory back tests and tests of unconditional coverage. A common trend is the superior performance of long (1000/750 day) in combination with short (190/125 days) VaR methods. The combination does not enhance conditional coverage performance. This is the first study on this topic.
ISSN:0970-3896

Similar Items