The new market-risk regulations
November 28, 2013
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.
Published on VoxEU.org
Solvency II: Three principles to respect
Models and risk
Bloggs and appendices on artificial intelligence, financial crises, systemic risk, financial risk, models, regulations, financial policy, cryptocurrencies and related topics© All rights reserved, Jon Danielsson,