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Lambda value at risk and regulatory capital : a dynamic approach to tail risk
Hitaj, Asmerilda; Mateus, Cesario; Peri, Ilaria - In: Risks : open access journal 6 (2018) 1, pp. 1-18
This paper presents the first methodological proposal of estimation of the VaR. Our approach is dynamic and calibrated to market extreme scenarios, incorporating the need of regulators and financial institutions in more sensitive risk measures. We also propose a simple backtesting methodology by...
Persistent link: https://www.econbiz.de/10011811561
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The Information Value of Basel III Liquidity Risk Measures
Wu, Deming - 2013
bank failures when compared with traditional liquidity risk measures. We also find that marketwide liquidity risk was the … major predictor of bank failures in 2009 and 2010. Finally, our study sheds light on the assumptions on net cash outflow …
Persistent link: https://www.econbiz.de/10013089636
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The Information Content of Basel III Liquidity Risk Measures
Hong, Han - 2018
liquidity risk measures and bank failures using a model that differentiates between idiosyncratic and systemic liquidity risks …. We find that while both the NSFR and the LCR have limited effects on bank failures, the systemic liquidity risk is a … major contributor to bank failures in 2009 and 2010. This finding suggests that an effective framework of liquidity risk …
Persistent link: https://www.econbiz.de/10012938263
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Calculating trading book capital : is risk separation appropriate?
Raupach, Peter - 2015
Regulatory capital for trading book positions includes two components that cover different risks but apply to the same portfolio, one for market risk and one for credit risk. Similar approaches are common in banks’ internal models for economic capital. Although it is known that joint market...
Persistent link: https://www.econbiz.de/10011299075
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External Risk Measures and Basel Accords
Kou, Steven - 2013
Choosing a proper external risk measure is of great regulatory importance, as exemplified in the Basel II and Basel III Accord which use Value-at-Risk (VaR) with scenario analysis as the risk measures for setting capital requirements. We argue a good external risk measure should be robust with...
Persistent link: https://www.econbiz.de/10013091039
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The Basel III Leverage Ratio : Unaffected by the Applied Risk Measurement Approach?
Maidl, Christoph - 2019
We examine the effects of the recently introduced regulatory leverage ratio, which aims to backstop existing risk-weighted capital requirements, on banks' balance sheets. We observe on average a deleveraging process, while banks simultaneously increase their risk-weighted assets. Having less...
Persistent link: https://www.econbiz.de/10012899476
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Capital Allocation for Set-Valued Risk Measures
Centrone, Francesca; Rosazza Gianin, Emanuela - 2021
We introduce the definition of set-valued capital allocation rule, in the context of set- valued risk measures. In analogy to some well known methods for the scalar case based on the idea of marginal contribution and hence on the notion of gradient and sub-gradient of a risk measure, and under...
Persistent link: https://www.econbiz.de/10013249140
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Risk measures based on benchmark loss distributions
Bignozzi, Valeria; Burzoni, Matteo; Munari, Cosimo-Andrea - 2018
We introduce a class of quantile-based risk measures that generalize Value at Risk (VaR) and, likewise Expected Shortfall (ES), take into account both the frequency and the severity of losses. Under VaR a single confidence level is assigned regardless of the size of potential losses. We allow...
Persistent link: https://www.econbiz.de/10011900226
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Evaluating market risk from leveraged derivative exposures
Jukonis, Audrius - 2022
Market participants use leveraged derivatives to gain access to equity market exposure through broker banks. Leverage and interconnectedness via overlapping portfolios of dealer banks can amplify adverse market movements, potentially causing sizeable losses. I propose a model, based on granular...
Persistent link: https://www.econbiz.de/10013367613
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Evaluating Market Risk from Leveraged Derivative Exposures
Jukonis, Audrius - 2022
Market participants use leveraged derivatives to gain access to equity market exposure through broker banks. Leverage and interconnectedness via overlapping portfolios of dealer banks can amplify adverse market movements, potentially causing sizeable losses. I propose a model, based on granular...
Persistent link: https://www.econbiz.de/10013491644