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Since the financial crisis of 2007–2008, market risk management has become more important than ever. Many advanced risk measures and capital charge for market risk are proposed in a comprehensive capital framework. This chapter focuses on the market risk modeling framework under Basel. The chapter starts with Basel II to set the major framework of market risk management. Then, its revision in Basel 2.5 is illustrated. Two widely used market risk measures and their pros and cons are explained. Finally, the latest revised minimum capital requirement for market risk published in January 2016 is briefly documented.
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BCBS, “International Convergence of Capital Measurement and Capital Standards”, July 1988. Basel I (the Basel Capital Accord).
BCBS, “Amendment to the Capital Accord to Incorporate Market Risks”, January 1996 (Amendment).
BCBS, “Basel II: International Convergence of Capital Measurement and Capital Standards: A Revised Framework”, June 2004.
BCBS, “Amendment to the Capital Accord to Incorporate Market Risks”, Updated November 2005.
BCBS, “Basel II: International Convergence of Capital Measurement and Capital Standards: A Revised Framework – Comprehensive Version”, June 2006.
BCBS, “Revisions to the Basel II market risk framework - final version”, July 2009.
Markowitz, Harry, M., Portfolio Selection, Journal of Finance, 7 (1), 77-91, 1952.
BCBS, “Minimum Capital Requirements for Market Risk” (Standards), January 2016.
BCBS, “Fundamental Review of the Trading Book”, May 2012.
BCBS, “Fundamental Review of the Trading Book: A Revised Market Risk Framework”, October 2013.
BCBS, “Fundamental Review of the Trading Book: Outstanding Issues”, December 2014.
Tilman Gneiting., Marking and Evaluation Point Forecasts, Journal of the American Statistical Association, 106(494): 746–762, 211.
C. Acerbi and B. Szekey, Backtesting Expected Shortfall, December 2014.
- Market Risk Modeling Framework Under Basel
- Palgrave Macmillan US