Library Header Image
LSE Research Online LSE Library Services

The new market-risk regulations

Danielsson, Jon (2013) The new market-risk regulations. VoxEU.

Full text not available from this repository.


Basel III is coming into focus. The fundamental logic of the regulatory changes seems sensible, but the devil is in the detail – empirical implementation. This column discusses a detailed quantitative study, incorporating analytical calculations, Monte Carlo simulations and results from observed data. It concludes that the Basel Committee has taken three and a half steps backwards and half a step forward. If implemented, the framework is likely to lead to less robust risk forecasts than current methodologies

Item Type: Article
Official URL:
Additional Information: © 2015 The Author
Divisions: Finance
Systemic Risk Centre
Financial Markets Group
Subjects: H Social Sciences > HA Statistics
H Social Sciences > HG Finance
K Law > KZ Law of Nations
Date Deposited: 22 May 2015 11:31
Last Modified: 16 May 2024 01:45

Actions (login required)

View Item View Item