Evaluation of Basel III revision of quantitative standards for implementation of internal models for market risk
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...
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2012-12-01
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Online Access: | http://www.sciencedirect.com/science/article/pii/S0970389612000778 |
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doaj-c452ac1f755e4260943a882cf353b28e2020-11-24T22:19:38ZengElsevierIIMB Management Review0970-38962012-12-0124423424410.1016/j.iimb.2012.09.001Evaluation of Basel III revision of quantitative standards for implementation of internal models for market riskMeera SharmaThis 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.http://www.sciencedirect.com/science/article/pii/S0970389612000778Basel IIIConditional coverageHistorical simulationUnconditional coverageValue-at-risk |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
Meera Sharma |
spellingShingle |
Meera Sharma Evaluation of Basel III revision of quantitative standards for implementation of internal models for market risk IIMB Management Review Basel III Conditional coverage Historical simulation Unconditional coverage Value-at-risk |
author_facet |
Meera Sharma |
author_sort |
Meera Sharma |
title |
Evaluation of Basel III revision of quantitative standards for implementation of internal models for market risk |
title_short |
Evaluation of Basel III revision of quantitative standards for implementation of internal models for market risk |
title_full |
Evaluation of Basel III revision of quantitative standards for implementation of internal models for market risk |
title_fullStr |
Evaluation of Basel III revision of quantitative standards for implementation of internal models for market risk |
title_full_unstemmed |
Evaluation of Basel III revision of quantitative standards for implementation of internal models for market risk |
title_sort |
evaluation of basel iii revision of quantitative standards for implementation of internal models for market risk |
publisher |
Elsevier |
series |
IIMB Management Review |
issn |
0970-3896 |
publishDate |
2012-12-01 |
description |
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. |
topic |
Basel III Conditional coverage Historical simulation Unconditional coverage Value-at-risk |
url |
http://www.sciencedirect.com/science/article/pii/S0970389612000778 |
work_keys_str_mv |
AT meerasharma evaluationofbaseliiirevisionofquantitativestandardsforimplementationofinternalmodelsformarketrisk |
_version_ |
1725778146719956992 |