Recent crises in the financial industry have shown weaknesses in the modeling of Risk-Weighted Assets (RWAs). Relatively minor model changes may lead to substantial changes in the RWA numbers. Similar problems are encountered in the Value-at-Risk (VaR)-aggregation of risks. In this article, we highlight some of the underlying issues, both methodologically, as well as through examples. In particular, we frame this discussion in the context of two recent regulatory documents we refer to as Basel 3.5.

An Academic Response to Basel 3.5 / P. Embrechts, G. Puccetti, L. Rüschendorf, R. Wang, A. Beleraj. - In: RISKS. - ISSN 2227-9091. - 2:1(2014), pp. 25-48. [10.3390/risks2010025]

An Academic Response to Basel 3.5

G. Puccetti;
2014

Abstract

Recent crises in the financial industry have shown weaknesses in the modeling of Risk-Weighted Assets (RWAs). Relatively minor model changes may lead to substantial changes in the RWA numbers. Similar problems are encountered in the Value-at-Risk (VaR)-aggregation of risks. In this article, we highlight some of the underlying issues, both methodologically, as well as through examples. In particular, we frame this discussion in the context of two recent regulatory documents we refer to as Basel 3.5.
Basel 3.5; risk-weighted assets; Value-at-Risk; expected shortfall; model uncertainty; robustness; backtesting
Settore SECS-S/06 - Metodi mat. dell'economia e Scienze Attuariali e Finanziarie
Settore MAT/06 - Probabilita' e Statistica Matematica
2014
Article (author)
File in questo prodotto:
File Dimensione Formato  
risks-02-00025.pdf

accesso aperto

Tipologia: Publisher's version/PDF
Dimensione 318.53 kB
Formato Adobe PDF
318.53 kB Adobe PDF Visualizza/Apri
Pubblicazioni consigliate

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2434/296402
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 131
  • ???jsp.display-item.citation.isi??? ND
social impact