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Quantifying market risk with Value-at-Risk or Expected Shortfall? – Consequences for capital requirements and model risk

Kellner, Ralf and Rösch, Daniel (2016) Quantifying market risk with Value-at-Risk or Expected Shortfall? – Consequences for capital requirements and model risk. Journal of Economic Dynamics and Control 68, pp. 45-63.

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Abstract

The Basel Committee on Banking Supervision recently proposed fundamental changes in the regulatory treatment of financial institutions׳ trading book positions. Among others, a replacement of Value-at-Risk (α=0.99α=0.99) by Expected Shortfall (α=0.975α=0.975) for the quantification of market risk is recommended. While this increases capital requirements for heavy tailed risks, its consequences for ...

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Item type:Article
Date:May 2016
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Statistik und Risikomanagement (Prof. Dr. Rösch)
Research groups and research centres:Center of Finance
Identification Number:
ValueType
10.1016/j.jedc.2016.05.002DOI
Classification:
NotationType
C10Journal of Economics Literature Classification
C53Journal of Economics Literature Classification
G32Journal of Economics Literature Classification
Keywords:Model risk; Capital requirements; Value-at-Risk; Expected Shortfall
Dewey Decimal Classification:300 Social sciences > 310 General statistics
300 Social sciences > 330 Economics
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Yes
Item ID:34554
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