An academic response to Basel 3.5

Paul Embrechts, Giovanni Puccetti, Ludger Rüschendorf, Ruodu Wang and Antonela Beleraj

Recent crises in the financial industry have shown weaknesses in the modeling of Risk-Weighted Assets (RWAs). Relatively minor model changes may lead to substantial changes in the RWA numbers. Similar problems are encountered in the Value-at-Risk (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.

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Year of publication:	2014
Authors:	Embrechts, Paul ; Puccetti, Giovanni ; Rüschendorf, Ludger ; Wang, Ruodu ; Beleraj, Antonela
Published in:	Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 2.2014, 1, p. 25-48
Subject:	Basel 3.5 \| risk-weighted assets \| Value-at-Risk \| expected shortfall \| model uncertainty \| robustness \| backtesting \| Risikomaß \| Risk measure \| Basler Akkord \| Basel Accord \| Kreditrisiko \| Credit risk \| Risikomanagement \| Risk management \| Theorie \| Theory \| Risiko \| Risk

Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Notes:	Systemvoraussetzungen: Acrobat Reader
Other identifiers:	10.3390/risks2010025 [DOI] hdl:10419/103622 [Handle]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10010338097