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Choosing expected shortfall over VaR in Basel III using stochastic dominance
Chang, Chia-Lin; Jiménez-Martín, Juan-Ángel; … - 2015
Bank risk managers follow the Basel Committee on Banking Supervision (BCBS) recommendations that recently proposed … regulatory capital requirements, including its inability to capture tail risk". The proposed reform costs and impact on bank … significantly. Regulators and bank risk managers agree that all else being equal, a "better" distribution of daily capital charges …
Persistent link: https://www.econbiz.de/10011431395
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A stochastic dominance approach to the Basel III dilemma : expected shortfall or VaR?
Chang, Chia-Lin; Jiménez-Martín, Juan-Ángel; … - 2015
The Basel Committee on Banking Supervision (BCBS) (2013) recently proposed shifting the quantitative risk metrics system from Value-at-Risk (VaR) to Expected Shortfall (ES). The BCBS (2013) noted that - a number of weaknesses have been identified with using VaR for determining regulatory capital...
Persistent link: https://www.econbiz.de/10010532611
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Has the Basel II accord encouraged risk management during the 2008 - 09 financial crisis?
McAleer, Michael; Jimenez-Martin, Juan-Angel; Pérez … - 2009
The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to measure Value-at-Risk (VaR). The risk estimates of...
Persistent link: https://www.econbiz.de/10011378354
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Has the Basel accord improved risk management during the global financial crisis?
McAleer, Michael; Jiménez-Martín, Juan-Ángel; Pérez … - 2013
Persistent link: https://www.econbiz.de/10009724104
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International Evidence on GFC-Robust Forecasts for Risk Management Under the Basel Accord
McAleer, Michael - 2011
A risk management strategy that is designed to be robust to the Global Financial Crisis (GFC), in the sense of selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models, was proposed in McAleer et al. (2010c). The robust forecast is based on the median of the...
Persistent link: https://www.econbiz.de/10013131430
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GFC-Robust Risk Management Strategies under the Basel Accord
McAleer, Michael - 2010
A risk management strategy is proposed as being robust to the Global Financial Crisis (GFC) by selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models. The robust forecast is based on the median of the point VaR forecasts of a set of conditional volatility...
Persistent link: https://www.econbiz.de/10013137384
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It Pays to Violate : How Effective are the Basel Accord Penalties in Encouraging Risk Management?
da Veiga, Bernardo - 2010
The internal models amendment to the Basel Accord allows banks to use internal models to forecast Value-at-Risk (VaR) thresholds, which are used to calculate the required capital that banks must hold in reserve as a protection against negative changes in the value of their trading portfolios. As...
Persistent link: https://www.econbiz.de/10013149149
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Choosing Expected Shortfall Over VaR in Basel III Using Stochastic Dominance
Chang, Chia-Lin - 2016
) recommends bank risk managers to shift the current quantitative risk metrics system, based on Value-at-Risk (VaR), to Expected …
Persistent link: https://www.econbiz.de/10012996938
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Has the Basel Accord Improved Risk Management During the Global Financial Crisis?
McAleer, Michael; Jiménez-Martín, Juan-Ángel; … - 2013
The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to measure Value-at-Risk (VaR). The risk estimates of...
Persistent link: https://www.econbiz.de/10010326358
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Mitigating counterparty risk
Gündüz, Yalın - 2018
This paper provides initial evidence on counterparty risk-mitigation activities of financial institutions on the basis of Depository Trust and Clearing Corporation's (DTCC) proprietary bilateral credit default swap transactions and positions. We show that financial institutions that are active...
Persistent link: https://www.econbiz.de/10011900709