In many standard derivation and presentations of risk measures like the Value-at-Risk or the Expected Shortfall, it is … issue of errors stemming from the internal model estimation process in the context of credit risk, calling for margins of … framework of the Asymptotic Single Risk Factor model that represents the baseline for the derivation of the credit risk measures …

A side-effect of the better differentiation of credit risk in the New Basel Capital Accord is the danger of a sharp … suggested which “buffers” the cyclicality effect by considering simple Value-at-Risk calculations. Its main advantage is the … transparent reflection of a bank's actual risk and the retention of risk sensitive weights - an essential goal of Basel II …

This study highlights some deficiencies of the stock markets’ risk legislation framework, and particularly the CESR … companies to invest in advanced models for more representative Value at Risk (VaR) estimations, and for this reason, in many …