Sökning: "Basel III agreement"

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  1. 1. Measuring Risk with Expected Shortfall

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Stacy Natasya Kuntjoro; Huan Liu; [2015]
    Nyckelord :risk measure; expected shortfall; value at risk; Basel III agreement; Business and Economics;

    Sammanfattning : In 2012, The Basel Committee on Banking Supervision decided to change the standard risk measure from the well-known Value-at-Risk (VaR) to Expected Shortfal (ES). The committee believes that the new standard risk measure could offer more benefit, aside from just overcoming the major weaknesses of VaR like incoherency and inability to capture tail risk. LÄS MER