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Measuring Market Risk Under Basel II, 2.5, and III: VAR, Stressed VAR, and Expected Shortfall
Year Of Publication: 2013
Month Of Publication: April
Resource Link: Click here to open
Pages: 19
Download Count: 0
View Count: 1694
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 1-3-2014
Publisher: Administrator
Each of the most recent accords of the Basel Committee on Banking Regulation, known as Basel II, 2.5, and II, has embraced a different primary measure of market risk in global banking regulation: traditional value-at-risk (VaR), stressed VaR, and expected shortfall. After introducing the mathematics of VaR and expected shortfall, this note will evaluate how well the reforms embraced by Basel 2.5 and III - stressed VaR and expected shortfall - have addressed longstanding regulatory concerns with traditional VaR.
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Chen, James Ming Sign in to follow this author
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