English, Article edition: DOES THE APPLICATION OF INNOVATIVE INTERNAL MODELS DIMINISH REGULATORY CAPITAL? LAMPROS KALYVAS; ATHANASIOS SFETSOS

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Bookmark: http://trove.nla.gov.au/version/83063
Physical Description
  • article
Language
  • English

Edition details

Title
  • DOES THE APPLICATION OF INNOVATIVE INTERNAL MODELS DIMINISH REGULATORY CAPITAL?
Author
  • LAMPROS KALYVAS
  • ATHANASIOS SFETSOS
Physical Description
  • article
Notes
  • The broad spectrum and the increased complexity of financial products that compose modern portfolios have forced credit and financial institutions to focus on innovative and more effective ways of estimating market risks. These new approaches, very often, prove to be more conservative compared to traditional approaches in terms of market risk quantification. On the other hand, according to the Basel Committee evaluation framework, this conservatism is rewarded with lower multiplication factors when calculations of capital requirements take place. The present study elaborates on the comparison of several Value-at-Risk (VaR) methodologies based on the capital requirements they provide according to the Basel Committee regulatory framework.
  • Value-at-Risk, Basel Committee, Extreme Value Theory, historical simulation
  • RePEc:wsi:ijtafx:v:09:y:2006:i:02:p:217-226
Language
  • English
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