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

Kellner, Ralf ; Rösch, Daniel



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 (alpha = 0.99) by Expected Shortfall (alpha = 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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