An Academic Response to Basel 3.5

Risks

Ludger Rüschendorf¹  Ruodu Wang²  Paul Embrechts³  Giovanni Puccetti⁴  Antonela Beleraj⁴ 

[1] Department of Mathematical Stochastics, University of Freiburg, Freiburg 79104, Germany;Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, ON N2L 3G1, Canada;RiskLab and SFI, Department of Mathematics, ETH Zurich, Zurich 8092, Switzerland;School of Economics and Management, University of Firenze, Firenze 50127, Italy;

关键词: Basel 3.5;    risk-weighted assets;    Value-at-Risk;    expected shortfall;    model uncertainty;    robustness;    backtesting;   

DOI  :  10.3390/risks2010025

来源: DOAJ

【 摘 要 】

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.

【 授权许可】

Unknown