This paper provides market risk calculation for an equity-based trading portfolio. Instead of relying on the purely … last 250 days reflect a calm market for which the efficient-market hypothesis could hold. Thus it is argued that a value-at-risk … argumentiert, dass es sinnvoll wäre, im regulatorischen Kapital das Maximum der Value-at-Risk (VaR) aus beiden Ansätzen zu …

The internal models amendment to the Basel Accord allows banks to use internal models to forecast Value-at-Risk (VaR … banks could be tempted to use models that underpredict risk, and hence lead to low capital charges. In order to avoid this … excessive violations, thereby suggesting the current penalty structure is not severe enough to encourage adequate risk …

Regulatory capital requirements for market risk, also known as the Fundamental Review of the Trading Book (FRTB), were … disclosed by the Basel Committee on January 2016. This major overhaul of the Basel 2.5 framework challenges risk model … the regulatory benchmarking of internal risk models. We show a trade-off between the resilience of risk models to periods …

This study investigates the link between capital market discipline and bank-level credit risk with a special emphasis … credit risk is amplified for state-owned banks. This finding remains similar against a myriad of robustness checks. To …