An academic response to Basel 3.5

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. - Basel : MDPI, ISSN 2227-9091. - Vol. 2.2014, 1, p. 25-48
Publisher:	Basel : MDPI
Subject:	Basel 3.5 \| risk-weighted assets \| Value-at-Risk \| expected shortfall \| model uncertainty \| robustness \| backtesting

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.3390/risks2010025 [DOI] 782432417 [GVK] hdl:10419/103622 [Handle]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010421286