An Academic Response to Basel 3.5

An Academic Response to Basel 3.5

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 highl...

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Bibliographic Details
Main Authors:	Paul Embrechts, Giovanni Puccetti, Ludger Rüschendorf, Ruodu Wang, Antonela Beleraj
Format:	Article
Language:	English
Published:	MDPI AG 2014-02-01
Series:	Risks
Subjects:	Basel 3.5 risk-weighted assets Value-at-Risk expected shortfall model uncertainty robustness backtesting
Online Access:	http://www.mdpi.com/2227-9091/2/1/25

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