Event risk modelling for equities

Event risk modelling for equities

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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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