Evaluation of Basel III revision of quantitative standards for implementation of internal models for market risk-Reference-Cited by-同舟云学术

Evaluation of Basel III revision of quantitative standards for implementation of internal models for market risk

Published:2012-12 Issue:4 Volume:24 Page:234-244
ISSN:0970-3896
Container-title:IIMB Management Review
language:en
Short-container-title:IIMB Management Review

Author:

Sharma Meera

Publisher

Elsevier BV

Subject

Economics and Econometrics,General Business, Management and Accounting

Reference27 articles.

1. Developing a stress testing framework based on market risk models;Alexander;Journal of Banking and Finance,2008

2. Modeling risk for long and short trading positions;Angelidis;The Journal of Risk Finance,2005

3. Supervisory framework for the use of “Backtesting” in Conjunction with the internal models approach to market risk;Basel Committee on Banking Supervision,1996

4. International convergence of capital measurement and capital standards;Basel committee on Banking Supervision,2006

5. Revisions to the Basel II market risk framework;Basel Committee on Banking Supervision,2011

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4. Basel violations, volatility model variants and value at risk: Optimization of performance deviations in banks;Economics and Business Letters;2021-08-02

5. Dynamic Interaction of Bank Risk Exposures: An Empirical Study for the Indian Banking Industry;IIM Kozhikode Society & Management Review;2018-05-21