Messages from the academic literature on risk measurement for the trading book.
This report summarises the findings of an ad hoc group of the Basel Committee's Research Task Force based on its review of the academic literature relevant to the regulatory framework for the trading book. This project was carried out in the first half of 2010 acting upon a request from the Basel Committee's Trading Book Group. It builds on and extends previous work by the Research Task Force on the interaction of market and credit risk. The literature review was complemented by feedback from academic experts at a workshop hosted by the Deutsche Bundesbank in April 2010 and reflects the state of the literature at this point in time.
- Publication Date: January 2011
- Publication Type: Working Papers
- Publication Status: Current
- Publication Category: Risk Management
- Number of Pages: 59
- Keywords: Trading Book, Value At Risk, Bank Capital, Stress Testing, Market Risk, VAR
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