Please use this identifier to cite or link to this item:
Full metadata record
DC FieldValueLanguage
dc.contributor.authorFricke, Jensen_US
dc.contributor.authorPauly, Ralfen_US
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.publisher|aInst. für Empirische Wirtschaftsforschung |cOsnabrücken_US
dc.relation.ispartofseries|aWorking Paper, Institute of Empirical Economic Research, University of Osnabrück |x78en_US
dc.subject.keywordRisk evaluationen_US
dc.subject.keywordBasle II backtestingen_US
dc.titleProposals for a needed adjustment of the VaR-based market risk charge of Basle IIen_US
dc.typeWorking Paperen_US

Files in This Item:
379.18 kB

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