Approximate value-at-risk calculation for heterogeneous loan portfolios: Possible enhancements of the Basel II methodology

2009 ◽  
Vol 5 (4) ◽  
pp. 374-392 ◽  
Author(s):  
Natalia Puzanova ◽  
Sikandar Siddiqui ◽  
Mark Trede
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Basel Ii ◽  
Risk Calculation ◽  
Loan Portfolios

A simple isochore model evidencing regulation risk

2018 ◽  
Vol 12 (2) ◽  
pp. 233-248 ◽  
Author(s):  
J. Lévy Véhel
Keyword(s):  
At Risk ◽  
Systemic Risk ◽  
Value At Risk ◽  
Solvency Ii ◽  
Basel Ii ◽  
Minimal Volume ◽  
Model Based

AbstractIn this note, we provide a simple example of regulation risk. The idea is that, in certain situations, the very prudential rules (or, rather, some of them) imposed by the regulator in the framework of the Basel II/III Accords or Solvency II directive are themselves the source of a systemic risk. The instance of regulation risk that we bring to light in this work can be summarised as follows: wrongly assuming that prices evolve in a continuous fashion when they may in fact display large negative jumps, and trying to minimise Value at Risk (VaR) under a constraint of minimal volume of activity leads in effect to behaviours that will maximise VaR. Although much stylised, our analysis highlights some pitfalls of model-based regulation.

The Value-at-Risk Methodology of Basel II and Basel III

2014 ◽  
pp. 100-114 ◽  
Keyword(s):  
At Risk ◽  
Risk Management ◽  
Value At Risk ◽  
Basel Ii ◽  
Risk Measurement ◽  
Capital Adequacy ◽  
Basel Iii ◽  
Regulatory Capital ◽  
Advantages And Disadvantages ◽  
Risk Methodology

This chapter examines the advantages and disadvantages of the risk estimate approach—Value-at-Risk (VaR) which has been extensively embraced by regulators and practitioners in financial markets under the Basel II & III framework as the basis of risk measurement, both for the purpose of ensuring regulatory capital adequacy, and risk management and strategic planning at industry level.

scholarly journals The Ten Commandments for Managing Value-at-Risk under the Basel II Accord

2009 ◽  
Author(s):  
Juan-Angel Jiménez-Martin ◽  
Michael McAleer ◽  
Teodosio Perez Amaral
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Basel Ii ◽  
Ten Commandments

scholarly journals The Ten Commandments for Managing Value at Risk Under the Basel II Accord

2011 ◽  
pp. 59-64
Author(s):  
Juan-Ángel Jiménez-Martín ◽  
Michael McAleer ◽  
Teodosio Pérez-Amaral
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Basel Ii ◽  
Ten Commandments

scholarly journals Use of copulas for Value-at-Risk calculation and backtesting with an application to

2018 ◽  
Vol 2 (2018) ◽  
pp. 6-14
Author(s):  
Aianna Agosto ◽  
◽  
Alessandra Mainini ◽  
Enrico Moretto ◽  
◽  
...  
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Risk Calculation
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