Document Search
Add To My Bookshelf Sign in or Register Save And Annotate
Keywords:

regulatory capital sign in to follow this
stressed value-at-risk sign in to follow this
banks sign in to follow this
historical simulation sign in to follow this
Categories:

VaR Methods sign in to follow this
--Parametric sign in to follow this
Half-Life:
Impact:
Discuss This Paper
Sign in to follow this page
Recent Comments
  more
A Regulatory Algorithm for Determining Capital Requirements as a Stressed Value-at-Risk
Company: Bundesanstalt für Finanzdienstleistungsaufsicht
Company Url: Click here to open
Year Of Publication: 2011
Month Of Publication: August
Pages: 39
Download Count: 10
View Count: 1335
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 8-27-2011
Publisher: Administrator
Summary
This paper puts forward a proposal for a revised standardized measurement method for market risk for discussion. The proposed algorithm combines the concept of a stressed value-at-risk with historical simulation: Historical episodes to which the portfolio would have been vulnerable are selected under the algorithm. The capital charge is determined as the loss over a number of combined “bad” episodes using exact revaluation. In this way, the proposed algorithm recognises hedging and diversification effects in a risk-sensitive, but conservative way based on the changes of pricing parameters observed in those “bad” episodes.
Author(s)
Gebhard, Rüdiger Sign in to follow this author
This document's citation network:
Similar Documents:
Close window
Sign up in one step, no personal information required. Already a Member?



Email:
Repeat Email:
User Name:
Password:
Confirm Password:

Sign Up


Welcome to GloriaMundi!
Thanks for singning up



continue or edit your profile