About: Comparison of market risk models with respect to suggested changes of Basel Accord

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	The market risk capital charge of financial institutions has been mostly calculated by internal models based on integrated Value at Risk (VaR) approach, since the introduction of the Amendment to Basel Accord in 1996. The internal models should fulfil several quantitative and qualitative criteria. Besides others, it is the so called backtesting procedure, which was one of the main reasons why the alternative approach to market risk estimation – conditional Value at Risk or Expected Shortfall (ES) – were not applicable for the purpose of capital charge calculation. However, it is supposed that this approach will be incorporated into Basel III. In this paper we provide an extensive simulation study using various sets of market data to show potential impact of ES on capital requirements. The market risk capital charge of financial institutions has been mostly calculated by internal models based on integrated Value at Risk (VaR) approach, since the introduction of the Amendment to Basel Accord in 1996. The internal models should fulfil several quantitative and qualitative criteria. Besides others, it is the so called backtesting procedure, which was one of the main reasons why the alternative approach to market risk estimation – conditional Value at Risk or Expected Shortfall (ES) – were not applicable for the purpose of capital charge calculation. However, it is supposed that this approach will be incorporated into Basel III. In this paper we provide an extensive simulation study using various sets of market data to show potential impact of ES on capital requirements. (en)
Title	Comparison of market risk models with respect to suggested changes of Basel Accord Comparison of market risk models with respect to suggested changes of Basel Accord (en)
skos:prefLabel	Comparison of market risk models with respect to suggested changes of Basel Accord Comparison of market risk models with respect to suggested changes of Basel Accord (en)
skos:notation	RIV/61989100:27510/14:86090745!RIV15-MSM-27510___
http://linked.open...avai/riv/aktivita	P S
http://linked.open...avai/riv/aktivity	P(ED1.1.00/02.0070), P(EE2.3.20.0296), P(GA13-13142S), S
http://linked.open...iv/cisloPeriodika	S2
http://linked.open...vai/riv/dodaniDat	2015
http://linked.open...aciTvurceVysledku	Tichý, Tomáš Sznapková, Barbora Stiborová, Eliška
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Vysoká škola báňská - Technická univerzita Ostrava / Ekonomická fakulta
http://linked.open...dnocenehoVysledku	8116
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/14:86090745
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Accord; Basel; changes; suggested; respect; with; models; risk; market; Comparison (en)
http://linked.open.../riv/klicoveSlovo	Basel Comparison market models respect risk with changes Accord suggested
http://linked.open...odStatuVydavatele	HU - Maďarsko
http://linked.open...ontrolniKodProRIV	[54E67E0397E2]
http://linked.open...i/riv/nazevZdroje	Acta Oeconomica
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	3 (xsd:int)
http://linked.open...cetTvurcuVysledku	3 (xsd:int)
http://linked.open...vavai/riv/projekt	Research team for modelling of economic and financial processes at VSB-TU Ostrava Verification of suitability of particular Lévy models for selected issues of financial modeling IT4Innovations Centre of Excellence
http://linked.open...UplatneniVysledku	2014
http://linked.open...v/svazekPeriodika	64
http://linked.open...iv/tvurceVysledku	Tichý, Tomáš Stiborová, Eliška Sznapková, Barbora
issn	0001-6373
number of pages	18 (xsd:int)
http://bibframe.org/vocab/doi	10.1556/AOecon.64.2014.Suppl.18
http://localhost/t...ganizacniJednotka	27510

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