It Pays to Violate: How Effective are the Basel Accord Penalties in Encouraging Risk Management?
The internal models amendment to the Basel Accord allows banks to use internal models to forecast Value-at-risk (VaR) thresholds, which are used to calculate the required capital that banks must hold in reserve as a protection against negative changes in the value of their trading portfolios. As cap...
| Main Authors: | , , |
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| Format: | Journal Article |
| Published: |
Wiley-Blackwell Publishing Asia
2012
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| Subjects: | |
| Online Access: | http://hdl.handle.net/20.500.11937/28605 |