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The new market-risk regulations

Danielsson, Jon (2013) The new market-risk regulations. VoxEU.org (28 Nov 2013). Opinion Piece.

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Abstract

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: Website (Opinion Piece)
Official URL: http://www.voxeu.org/
Additional Information: © 2015 The Author
Subjects: H Social Sciences > HA Statistics
H Social Sciences > HG Finance
K Law > KZ Law of Nations
Sets: Departments > Finance
Research centres and groups > Systemic Risk Centre
Research centres and groups > Financial Markets Group (FMG)
Date Deposited: 22 May 2015 11:31
Last Modified: 05 Oct 2017 09:27
URI: http://eprints.lse.ac.uk/id/eprint/62069

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