create a website

The Fundamental Review of the Trading Book: Implications for Portfolio and Risk Management in the Banking Sector. (2023). Cummins, Mark ; McCullagh, Orla ; Killian, Sheila.
In: Journal of Money, Credit and Banking.
RePEc:wly:jmoncb:v:55:y:2023:i:7:p:1785-1816.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 42

References cited by this document

Cocites: 18

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Alexander, Carol. (2009) Market Risk Analysis, Value at Risk Models. United States: John Wiley & Sons.
    Paper not yet in RePEc: Add citation now
  2. Angelidis, Timotheos, and Stavros Degiannakis (2009) “Econometric Modeling of Value at Risk.” In New Econometric Modelling Research Nova (pp. 9–60), W. Toggins (ed.), New York.
    Paper not yet in RePEc: Add citation now
  3. Armstrong, John, and Damiano Brigo (2019) “Risk Managing Tail‐Risk Seekers: VaR and Expected Shortfall vs S‐Shaped Utility.” Journal of Banking & Finance, 101, 122–35. https://doi.org/10.1016/j.jbankfin.2019.01.010.
    Paper not yet in RePEc: Add citation now
  4. BCBS (2018) Regulatory Consistency Assessment Programme (RCAP)—Handbook for Jurisdictional Assessments. Bank for International Settlements. Available at: www.bis.org, Accessed 31/05/2019.
    Paper not yet in RePEc: Add citation now
  5. BCBS (2019) Minimum Capital Requirements for Market Risk. Bank for International Settlements. Available at: https://www.bis.org/bcbs/, Switzerland. Accessed 31/05/19.
    Paper not yet in RePEc: Add citation now
  6. Beder, Tanya Styblo. (1995) “VaR: Seductive but Dangerous.” Financial Analysts Journal, 51, 12–24. https://doi.org/10.2469/faj.v51.n5.1932.
    Paper not yet in RePEc: Add citation now
  7. Berkowitz, Jeremy, and James O'Brien (2002) “How Accurate Are Value‐at‐Risk Models at Commercial Banks?” The Journal of Finance, 57, 1093–111. https://doi.org/10.1111/1540‐6261.00455.
    Paper not yet in RePEc: Add citation now
  8. Borio, Claudio, and Haibin Zhu (2012) “Capital Regulation, Risk‐Taking and Monetary Policy: A Missing Link in the Transmission Mechanism?” Journal of Financial Stability, 8, 236–51. https://doi.org/10.1016/j.jfs.2011.12.003.
    Paper not yet in RePEc: Add citation now
  9. Burchi, Alberto. (2013) “Capital Requirements for Market Risks: Value‐at‐Risk Models and Stressed‐VaR after the Financial Crisis.” Journal of Financial Regulation and Compliance, 21, 284–304. https://doi.org/10.1108/JFRC‐10‐2012‐0042.
    Paper not yet in RePEc: Add citation now
  10. Christoffersen, P.F., (1998). “Evaluating interval forecasts.” International economic review, 841–862.
    Paper not yet in RePEc: Add citation now
  11. Danielsson, Jon, and Chen Zhou (2016) “Why Risk Is so Hard to Measure.” De Nederlandsche Bank Working Paper, No. 494. Available at: http://doi.org/10.2139/ssrn.2597563.

  12. Danielsson, Jon, Bjørn N Jorgensen, Sarma Mandira, Gennady Samorodnitsky, and Casper G De Vries (2005) Subadditivity Re‐examined: The Case for Value‐at‐Risk. Ithaca, NY: Cornell University Operations Research and Industrial Engineering.
    Paper not yet in RePEc: Add citation now
  13. Danielsson, Jon, Hyun Song Shin, and Jean‐Pierre Zigrand (2012) “Procyclical Leverage and Endogenous Risk.” Available at SSRN 1360866.
    Paper not yet in RePEc: Add citation now
  14. Demirguc‐Kunt, Asli, Enrica Detragiache, and Ouarda Merrouche (2013) “Bank Capital: Lessons from the Financial Crisis.” Journal of Money, Credit and Banking, 45, 1147–64. https://doi.org/10.1111/jmcb.12047.
    Paper not yet in RePEc: Add citation now
  15. EBA. (2019) Basel III Montoring Exercise—Results Based on Data as of 30th June 2018. European Banking Authority. Available at: https://eba.europa.eu/documents/10180/2551996/Basel+III+Monitoring+Exercise+Report+‐+data+as+of+30+June+2018.pdf, Paris, France. [accessed 31/01/2019].
    Paper not yet in RePEc: Add citation now
  16. Farag, Hany (2018) “A review of the fundamentals of the Fundamental Review of the Trading Book II: Asymmetries, Anomalies, and Simple Remedies.” Journal of Risk, 20(6), 99–128.
    Paper not yet in RePEc: Add citation now
  17. Farag, Hany M. (2017) “Bracing for the FRTB: Capital, Business and Operational Impact.” Journal of Securities Operations & Custody, 9, 160–77.

  18. Gordy, Michael B, and Alexander McNeil (2018) “Spectral Backtests of Forecast Distributions with Application to Risk Management.” Board of Governors of the Federal Reserve System, No. 2018–021, 1–40.

  19. Haas, M. (2001). New methods in backtesting. Working Paper, Financial Engineering Research Center, Bonn.
    Paper not yet in RePEc: Add citation now
  20. Hermsen, Oliver. (2010) “The Impact of the Choice of VaR Models on the Level of Regulatory Capital According to Basel II.” Quantitative Finance, 10, 1215–24.

  21. Ibragimov, Rustam, and Johan Walden (2007) “The Limits of Diversification When Losses May Be Large.” Journal of Banking & Finance, 31, 2551–69. https://doi.org/10.1016/j.jbankfin.2006.11.014.

  22. ICMA. (2020) Regulatory responses to the market impact of COVID‐19. Charlotte Bellamy. Available at: www.icmagroup.org [accessed 31/08/20].
    Paper not yet in RePEc: Add citation now
  23. Jansen, Dennis W., and Casper G. De Vries (1991) “On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective.” The Review of Economics and Statistics, 73, 18–24.
    Paper not yet in RePEc: Add citation now
  24. Kupiec, P.H., (1995). Techniques for verifying the accuracy of risk measurement models (Vol. 95, No. 24). Division of Research and Statistics, Division of Monetary Affairs, Federal Reserve Board.

  25. Lazar, Emese, and Ning Zhang (2020) Market risk measurement: preliminary lessons from the COVID‐19 crisis. In: Billio, M. and Varotto, S.(eds.) A New World Post COVID‐19 Lessons for Business, the Finance Industry and Policy Makers. Innovation in Business, Economics & Finance 1. Edizioni Ca'Foscari, pp. 97–107. ISBN 9788869694424.
    Paper not yet in RePEc: Add citation now
  26. Lee, Emily. (2013) “Basel III: Post‐Financial Crisis International Financial Regulatory Reform.” Journal of International Banking Law and Regulation, 28, 433–47.
    Paper not yet in RePEc: Add citation now
  27. Li, Luting, and Hao Xing (2018) “Capital Allocation under the Fundamental Review of Trading Book.” arXiv preprint arXiv:1801.07358.
    Paper not yet in RePEc: Add citation now
  28. Lucas, André. (2001) “Evaluating the Basle Guidelines for Backtesting Banks’ Internal Risk Management Models.” Journal of Money, Credit and Banking, 33, 826–46. https://doi.org/10.2307/2673897.

  29. Mahfoudhi, Ridha. (2018) “A Statistical Study of the Revised FRTB's P&L Attribution Tests.” SSRN, available: http://doi.org/10.2139/ssrn.3160327.
    Paper not yet in RePEc: Add citation now
  30. Mehta, Amit, Max Neukirchen, Sonja Pfetsch, and Thomas Poppensieker (2012) “Managing Market Risk: Today and Tomorrow.” 32. McKinsey & Company. Available at: https://www.mckinsey.com/~/media/mckinsey/dotcom/client_service/Risk/Working%20papers/Working_Papers_on_Risk_32.ashx [accessed 31/01/19].
    Paper not yet in RePEc: Add citation now
  31. Mokhtari, Mohamed, Robert Smith, Ridha Mahfoudhi, and Laurent Duvivier (2018) “A Statistical Study of the Newly Proposed P&L Attribution Tests.” FRTB White Paper. Available at: https://assets.kpmg/content/dam/kpmg/xx/pdf/2018/10/frtb‐white‐paper‐july‐2018.pdf [accessed 31/08/20].
    Paper not yet in RePEc: Add citation now
  32. Nield, S (2017) “The P&L Attribution Test—Going, Going, Gone?” Available at: https://ihsmarkit.com/research‐analysis/22062017‐In‐My‐Opinion‐The‐P‐L‐attribution‐test‐going‐going‐gone.html [accessed 08/04/2019].
    Paper not yet in RePEc: Add citation now
  33. Nocera, Joe. (2009) “Risk Mismanagement.” The New York Times, 4th January. Available at: http://www1.idc.ac.il/Faculty/Kobi/RiskMGT/riskmgmt%20nyt%20nocera.pdf [accessed 31/01/2019].
    Paper not yet in RePEc: Add citation now
  34. O'Brien, James, and Paweł J. Szerszeń (2017) “An Evaluation of Bank Measures for Market Risk before, during and after the Financial Crisis.” Journal of Banking & Finance, 80, 215–34. https://doi.org/10.1016/j.jbankfin.2017.03.002.

  35. Pederzoli, Chiara, and Costanza Torricelli (2019) “The Impact of the Fundamental Review of the Trading Book: A Preliminary Assessment on a Stylized Portfolio.” CEFIN Working Paper. Available at: http://doi.org/10.25431/11380_1197773.

  36. Pogliani, Alessandro, Federico Paganini, and Marilena Rata (2019) “The Implicit Constraints of Fundamental Review of the Trading Book Profit‐and‐Loss‐Attribution Testing and a Possible Alternative Framework.” Journal of Risk, 21, 1–16.
    Paper not yet in RePEc: Add citation now
  37. Pritsker, Matthew (1997) “Evaluating Value at Risk Methodologies: Accuracy versus Computational Time.” Journal of Financial Services Research, 12, 201–42.

  38. Rossignolo, Adrian F, Meryem Duygun Fethi, and Mohamed Shaban (2012) “Value‐at‐Risk Models and Basel Capital Charges: Evidence from Emerging and Frontier Stock Markets.” Journal of Financial Stability, 8, 303–19. https://doi.org/10.1016/j.jfs.2011.11.003.
    Paper not yet in RePEc: Add citation now
  39. Soobratty, Essan, Eugene Stern, and Vicky Cheng (2020) Revised Deadline Poses Further Challenges for Asia‐Pacific Banks. risk.net: Bloomberg. Available: www.risk.net [accessed 31/08/20].
    Paper not yet in RePEc: Add citation now
  40. Spinaci, M., M. Benigno, A Fraquelli, and A Montoro. (2017) “The FRTB's P&L Attribution‐Based Eligibility Test: An Alternative Proposal.” Risk, 142–147.
    Paper not yet in RePEc: Add citation now
  41. Thompson, Peter, Hayden Luo, and Kevin Fergusson (2016) “The P&L Attribution Test.” SSRN. Available: http://doi.org/10.2139/ssrn.2897911.
    Paper not yet in RePEc: Add citation now
  42. Thompson, Peter, Hayden Luo, and Kevin Fergusson (2017) “The Profit‐and‐Loss Attribution Test.” Journal of Risk Model Validation, 11, 37–55. http://doi.org/10.21314/JRMV.2017.180.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. The Fundamental Review of the Trading Book: Implications for Portfolio and Risk Management in the Banking Sector. (2023). Cummins, Mark ; McCullagh, Orla ; Killian, Sheila.
    In: Journal of Money, Credit and Banking.
    RePEc:wly:jmoncb:v:55:y:2023:i:7:p:1785-1816.

    Full description at Econpapers || Download paper

  2. Decoupling VaR and regulatory capital: an examination of practitioners’ experience of market risk regulation. (2023). Killian, Sheila ; Cummins, Mark ; McCullagh, Orla.
    In: Journal of Banking Regulation.
    RePEc:pal:jbkreg:v:24:y:2023:i:3:d:10.1057_s41261-022-00199-z.

    Full description at Econpapers || Download paper

  3. PELVE: Probability Equivalent Level of VaR and ES. (2023). Wang, Ruodu ; Li, Hengxin.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:234:y:2023:i:1:p:353-370.

    Full description at Econpapers || Download paper

  4. Market Risk and Volatility Weighted Historical Simulation After Basel III. (2022). Firouzi, Hassan Omidi ; Laurent, Jean-Paul.
    In: Working Papers.
    RePEc:hal:wpaper:hal-03679434.

    Full description at Econpapers || Download paper

  5. Estimating the market risk of clean energy technologies companies using the expected shortfall approach. (2021). Pradhan, Ashis ; Tiwari, Aviral Kumar.
    In: Renewable Energy.
    RePEc:eee:renene:v:177:y:2021:i:c:p:95-100.

    Full description at Econpapers || Download paper

  6. Simulating risk measures via asymptotic expansions for relative errors. (2021). Kou, Steven ; Jiang, Wei.
    In: Mathematical Finance.
    RePEc:bla:mathfi:v:31:y:2021:i:3:p:907-942.

    Full description at Econpapers || Download paper

  7. A cost-benefit analysis of capital requirements adjusted for model risk. (2020). Tunaru, Radu ; Fringuellotti, Fulvia ; Farkas, Walter.
    In: Journal of Corporate Finance.
    RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920301978.

    Full description at Econpapers || Download paper

  8. Strategic Selection of Risk Models and Bank Capital Regulation. (2019). Colliard, Jean-Edouard.
    In: Management Science.
    RePEc:inm:ormnsc:v:65:y:2019:i:6:p:2591-2606.

    Full description at Econpapers || Download paper

  9. Backtesting Expected Shortfall via Multi-Quantile Regression. (2019). Leymarie, Jérémy ; Couperier, Ophelie.
    In: Working Papers.
    RePEc:hal:wpaper:halshs-01909375.

    Full description at Econpapers || Download paper

  10. When is tail mean estimation more efficient than tail median? Answers and implications for quantitative risk management. (2018). Trindade, Alexandre A ; Pearce, Kent ; Barnard, Roger W.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:262:y:2018:i:1:d:10.1007_s10479-017-2547-7.

    Full description at Econpapers || Download paper

  11. Tail Risk in a Retail Payments System. (2018). Voia, Marcel ; Petrunia, Robert ; Jacho-Chávez, David ; Leonard, Sabetti ; Robert, Petrunia.
    In: Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik).
    RePEc:jns:jbstat:v:238:y:2018:i:3-4:p:353-369:n:5.

    Full description at Econpapers || Download paper

  12. The Credit Risk of Chinese Households – A Micro-Level Assessment. (2018). Sun, Rongrong ; Funke, Michael ; Zhu, Linxu.
    In: CFDS Discussion Paper Series.
    RePEc:fds:dpaper:201803.

    Full description at Econpapers || Download paper

  13. Using expected shortfall for credit risk regulation. (2018). Osmundsen, Kjartan Kloster .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:57:y:2018:i:c:p:80-93.

    Full description at Econpapers || Download paper

  14. An urgent call to get better prepared for unexpected events. (2018). Spaanderman, Jurgen.
    In: DNB Occasional Studies.
    RePEc:dnb:dnbocs:1602.

    Full description at Econpapers || Download paper

  15. The credit risk of Chinese households : A micro-level assessment. (2018). Sun, Rongrong ; Funke, Michael ; Zhu, Linxu.
    In: BOFIT Discussion Papers.
    RePEc:bof:bofitp:2018_012.

    Full description at Econpapers || Download paper

  16. Price level convergence within the euro area: How Europe caught up with the US and lost terrain again. (2016). Stokman, Ad ; Hoeberichts, Marco.
    In: DNB Working Papers.
    RePEc:dnb:dnbwpp:497.

    Full description at Econpapers || Download paper

  17. .

    Full description at Econpapers || Download paper

  18. Any regulation of risk increases risk. (2012). Maymin, Zakhar .
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:26:y:2012:i:3:p:299-313.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-02-27 03:48:31 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.

pFad - Phonifier reborn

Pfad - The Proxy pFad of © 2024 Garber Painting. All rights reserved.

Note: This service is not intended for secure transactions such as banking, social media, email, or purchasing. Use at your own risk. We assume no liability whatsoever for broken pages.


Alternative Proxies:

Alternative Proxy

pFad Proxy

pFad v3 Proxy

pFad v4 Proxy