EconStor >
Universität Osnabrück >
Institut für Empirische Wirtschaftsforschung, Universität Osnabrück >
Working Papers, Institut für Empirische Wirtschaftsforschung, Universität Osnabrück >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/66517
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorFricke, Jensen_US
dc.contributor.authorPauly, Ralfen_US
dc.date.accessioned2012-11-14en_US
dc.date.accessioned2012-11-20T10:41:23Z-
dc.date.available2012-11-20T10:41:23Z-
dc.date.issued2009en_US
dc.identifier.urihttp://hdl.handle.net/10419/66517-
dc.description.abstractWe analyze around 200 different financial time series, i.e. components of Dow Jones, Nasdaq, FTSE and Nikkei with seven different VaR approaches. We differentiate our analysis according to characteristics that can be observed. Our analysis shows that in high risk situations in which the time series show high volatility risk and high fat tail risk the current Basle II guidelines fail in the attempt to cushion against large losses by higher capital requirements. One of the factors causing this problem is that the builtin positive incentive of the penalty factor resulting from the Basle II backtesting is set too weak. Therefore, we propose adjustments regarding the Basle II penalty factor that take different risk situations into account and lead to higher capital buffers for forecast models with a systematic risk underestimation.en_US
dc.language.isoengen_US
dc.publisherInst. für Empirische Wirtschaftsforschung Osnabrücken_US
dc.relation.ispartofseriesWorking Paper, Institute of Empirical Economic Research, University of Osnabrück 78en_US
dc.subject.jelG12en_US
dc.subject.ddc330en_US
dc.subject.keywordRisk evaluationen_US
dc.subject.keywordValue-at-risken_US
dc.subject.keywordBasle II backtestingen_US
dc.subject.keywordGARCHen_US
dc.titleProposals for a needed adjustment of the VaR-based market risk charge of Basle IIen_US
dc.typeWorking Paperen_US
dc.identifier.ppn729716546en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:Working Papers, Institut für Empirische Wirtschaftsforschung, Universität Osnabrück

Files in This Item:
File Description SizeFormat
729716546.pdf379.18 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.