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Statements

Subject Item
n2:RIV%2F61989100%3A27510%2F14%3A86090745%21RIV15-MSM-27510___
rdf:type
n15:Vysledek skos:Concept
dcterms: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.
dcterms: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
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
skos:notation
RIV/61989100:27510/14:86090745!RIV15-MSM-27510___
n3:aktivita
n10:S n10:P
n3:aktivity
P(ED1.1.00/02.0070), P(EE2.3.20.0296), P(GA13-13142S), S
n3:cisloPeriodika
S2
n3:dodaniDat
n11:2015
n3:domaciTvurceVysledku
n4:3252833 n4:3188701 n4:3165302
n3:druhVysledku
n5:J
n3:duvernostUdaju
n17:S
n3:entitaPredkladatele
n18:predkladatel
n3:idSjednocenehoVysledku
8116
n3:idVysledku
RIV/61989100:27510/14:86090745
n3:jazykVysledku
n19:eng
n3:klicovaSlova
Accord; Basel; changes; suggested; respect; with; models; risk; market; Comparison
n3:klicoveSlovo
n9:risk n9:changes n9:with n9:respect n9:Basel n9:suggested n9:models n9:market n9:Accord n9:Comparison
n3:kodStatuVydavatele
HU - Maďarsko
n3:kontrolniKodProRIV
[54E67E0397E2]
n3:nazevZdroje
Acta Oeconomica
n3:obor
n14:AH
n3:pocetDomacichTvurcuVysledku
3
n3:pocetTvurcuVysledku
3
n3:projekt
n8:EE2.3.20.0296 n8:GA13-13142S n8:ED1.1.00%2F02.0070
n3:rokUplatneniVysledku
n11:2014
n3:svazekPeriodika
64
n3:tvurceVysledku
Tichý, Tomáš Sznapková, Barbora Stiborová, Eliška
s:issn
0001-6373
s:numberOfPages
18
n12:doi
10.1556/AOecon.64.2014.Suppl.18
n7:organizacniJednotka
27510