Danielsson, Jon (2013) The new market-risk regulations. VoxEU.
Full text not available from this repository.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: | Article |
|---|---|
| Official URL: | http://www.voxeu.org/ |
| 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: | 15 Sep 2023 14:51 |
| URI: | http://eprints.lse.ac.uk/id/eprint/62069 |
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