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An Academic Response to Basel 3.5
Year Of Publication: 2013
Month Of Publication: November
Pages: 23
Download Count: 6
View Count: 1211
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 11-29-2013
Publisher: Administrator
Summary
Recent crises in the financial industry have shown weaknesses in the modeling of Risk-Weighted Assets (RWA). Relatively minor model changes may lead to substantial changes in the RWA numbers. Similar problems are encountered in the VaR-aggregation of risks. In this article we highlight some of the underlying issues, both methodologically as well as through examples. In particular we frame this discussion in the context of two recent regulatory documents we refer to as Basel 3.5.
Author(s)
Embrechts, Paul Sign in to follow this author
Puccetti, Giovanni Sign in to follow this author
Rueschendorf, Ludger Sign in to follow this author
Wang, Ruodu Sign in to follow this author
Beleraj, Antonela Sign in to follow this author
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