Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/66517 
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dc.contributor.authorFricke, Jensen
dc.contributor.authorPauly, Ralfen
dc.date.accessioned2012-11-14-
dc.date.accessioned2012-11-20T10:41:23Z-
dc.date.available2012-11-20T10:41:23Z-
dc.date.issued2009-
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
dc.language.isoengen
dc.publisher|aOsnabrück University, Institute of Empirical Economic Research |cOsnabrücken
dc.relation.ispartofseries|aWorking Paper |x78en
dc.subject.jelG12en
dc.subject.ddc330en
dc.subject.keywordRisk evaluationen
dc.subject.keywordValue-at-risken
dc.subject.keywordBasle II backtestingen
dc.subject.keywordGARCHen
dc.titleProposals for a needed adjustment of the VaR-based market risk charge of Basle II-
dc.typeWorking Paperen
dc.identifier.ppn729716546en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:iee:wpaper:wp0078en

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