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Comprehensive Risk Measure - Current Challenges
Company: Journal of Financial Regulation and Compliance
Company Url: Click here to open
Year Of Publication: 2014
Month Of Publication: August
Resource Link: Click here to open
Pages: 271-284
Download Count: 0
View Count: 1118
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 8-11-2014
Publisher: Administrator
Summary
There are three measures introduced by the Basel Committee to serve as capital charges for market risk: incremental risk charge; stressed value at risk and CRM. All of these regulatory-driven measures have met with strong criticism for their cumbersome nature and extremely high capital charges. Furthermore, with banks facing imminent implementation deadlines, all challenges surrounding CRM must be rectified. This paper provides some practical insights into how banks are finalising the new methodologies to comply with Basel 2.5.
(volume 22, number 3)
Author(s)
Prorokowski, Hubert Sign in to follow this author
Prorokowski, Lukasz Sign in to follow this author
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