Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/103622
Authors: 
Embrechts, Paul
Puccetti, Giovanni
Rüschendorf, Ludger
Wang, Ruodu
Beleraj, Antonela
Year of Publication: 
2014
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Publisher:] MDPI [Place:] Basel [Volume:] 2 [Year:] 2014 [Issue:] 1 [Pages:] 25-48
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.
Subjects: 
Basel 3.5
risk-weighted assets
Value-at-Risk
expected shortfall
model uncertainty
robustness
backtesting
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/3.0/
Document Type: 
Article
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