Event risk modelling for equities

Modelling event risk is an important challenge faced by many institutions because of new regulations. Annabelle Kehl, Melanie Frick and Carsten Wehn develop an innovative approach, including sector- and industry-specific jumps for equity risk factors, and present the results of an application to an example portfolio

Within the framework of Basel II, financial institutions are supposed to calculate the amount of risk charge for their trading book according to several quantitative requirements (Pillar I). In addition to these rules, several amendments have been issued by the Basel Committee on Banking Supervision (2009a and 2009b). Compared with the current standard Basel II, they make some additional requirements with respect to market risk models. Before finalising the amendments made in 2009, a

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