Essays about: "Basel III agreement"

Found 1 essay containing the words Basel III agreement.

  1. 1. Measuring Risk with Expected Shortfall

    University essay from Lunds universitet/Nationalekonomiska institutionen

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

    Abstract : 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. READ MORE