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Procyclicality and Value at Risk
Company: Bank of Canada Financial System Review
Year Of Publication: 2009
Month Of Publication: June
Pages: 51-54
Download Count: 4
View Count: 936
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 3-1-2012
Publisher: Administrator
Summary
Value-at-risk models—the foundation of regulatory capital requirements for the trading book—have serious weaknesses, including the potential for inducing procyclicality in markets. Recent initiatives taken by the Basel Committee on Banking Supervision address some of the key weaknesses in the existing framework, but more remains to be done. Capital regulation could be improved by exploring the overall approach to risk management in the trading book, with particular attention to the systemwide implications of prudential regulation.
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Youngman, Peter Sign in to follow this author
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