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The calculation of capital requirement using Extreme Value Theory

Tsai, Ming-Shann; Chen, Lien-Chuan - In: Economic modelling 28 (2011) 1, pp. 390-396

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The calculation of capital requirement using Extreme Value Theory

Tsai, Ming-Shann; Chen, Lien-Chuan - In: Economic Modelling 28 (2011) 1, pp. 390-395

The Basel Committee has suggested some formulas for calculating capital requirement using the Advanced Internal Ratings-Based Approach. However, these formulas were derived under the assumption of a normal distribution. Thus, the capital requirement estimated by the Basel formula may be...

Persistent link: https://www.econbiz.de/10010573344

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