Event risk modelling for equities

- Annabelle Kehl, Melanie Frick and Carsten Wehn
- 03 Feb 2011

Tweet
Facebook
LinkedIn
Save this article
Send to
Print this page

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

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to print this content. Please contact info@risk.net to find out more.

You are currently unable to copy this content. Please contact info@risk.net to find out more.

You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email info@risk.net

You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email info@risk.net