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The New International Regulation of Market Risk : Roles of VaR and CVaR in Model Validation

Saissi Hassani, Samir; Dionne, Georges - 2021

We model the new quantitative aspects of market risk management for banks that Basel established in 2016 and came into effect in January 2019. Market risk is measured by Conditional Value at Risk (CVaR) or Expected Shortfall at a confidence level of 97.5%. The regulatory backtest remains largely...

Persistent link: https://www.econbiz.de/10013247097