Danielsson, Jon 
ORCID: 0009-0006-9844-7960
(2013)
The new market-risk regulations.
VoxEU.
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: | 01 Oct 2024 03:04 |
| URI: | http://eprints.lse.ac.uk/id/eprint/62069 |
Actions (login required)
 |
View Item |
