Prinzipien gelenkt, wie in Zukunft das Risikomanagement, die interne Banksteuerung und die Bankenaufsicht reformiert und auf die …

Prinzipien gelenkt, wie in Zukunft das Risikomanagement, die interne Banksteuerung und die Bankenaufsicht reformiert und auf die …

substantially increase economic capital, the theoretical part of the paper explores whether this risk can be measured by a tractable … model that avoids Monte Carlo simulations. We analyze a simplified version of the analytic value-at-risk approximation … developed by Pykhtin (2004), which only requires risk parameters on a sector level. Sensitivity analyses with various input …

regulatory equity and the increasing reliance on banks’ internal risk models for the determination of risk weights. The first … trend has been reversed with the regulatory reforms following the financial crisis. Internal risk models will still play a … central role. The rest of the paper focuses on the problems with the use of internal risk models for regulatory purposes. The …