Have a personal or library account? Click to login
Market risk, value-at-risk and exponential weighting Cover

Market risk, value-at-risk and exponential weighting

By: Udo Broll and  Andreas Förster  
Open Access
|Jul 2022

References

  1. Admati, A., & Hellwig, M. (2013). The bankers’ new clothes. Princeton: Princeton University Press.
  2. Alexander, C. (2008). Market risk analysis. Vol. 4: Value at risk models. New York: Wiley.
  3. BaFin. (2013). Erläuterungen zur Derivateverordnung in der Fassung vom 16. Juli 2013, Bonn/Frankfurt. Retrieved from: https://www.bafin.de/dok/7863988
  4. Baker, H. K., & Filbeck, G. (2015). Investment risk management. Oxford: Oxford University Press.10.1093/acprof:oso/9780199331963.001.0001
  5. Basel Committee on Bank Supervision. (2019). Minimum capital requirements for market risk. Basel.
  6. Broll, U., Guo, X., Welzel, P. (2017). Risk sharing markets and hedging a loan portfolio: A note. Economics and Business Review, 3(17), 47‒54.10.18559/ebr.2017.4.3
  7. Broll, U., Sobiech, A., & Wahl, J. E. (2012). Banking firm, equity and value at risk. Contemporary Economics, 6, 50‒53.10.5709/ce.1897-9254.67
  8. EBA—European Bank Authority. (2012). Guidelines on stressed value at risk (stressed VaR). EBA/GL/2012/2. Paris.
  9. EBA—European Bank Authority. (2015). Consultation Paper EBA/CP/2015/27. Paris.
  10. ECB—European Central Bank. (2019). ECB guide to internal models. Frankfurt.
  11. ECB—European Central Bank. (2022). Eurosystem, statistical data. Frankfurt.
  12. European Union. (2013). Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (Document 32013R0575). Official Journal of the European Union.
  13. Freixas, X., & Rochet, J. C. (2008). Microeconomics of banking (2nd ed.). Cambridge, MA: MIT Press.
  14. Hull, J. C. (2015). Risk management and financial institutions (4th ed.). New York: Wiley.
  15. Hull, J. C. (2021). Options, futures, and other derivatives (11th ed.). New York: Wiley.
  16. J.P. Morgan/Reuters. (1996). RiskMetrics—Technical Document (4th ed.). New York.
  17. Kakati, S., & Roy, A. (2021). Financial sustainability: An annotated bibliography. Economic and Business Review, 7(3), 35‒60.10.18559/ebr.2021.3.4
  18. Kapitalanlagegesetzbuch (KAGB). (2013). Retrieved from: https://www.gesetze-im-internet.de/kagb/BJNR198110013.html
  19. Leippold, M. (2015). Value-at-risk and other risk measures. In: H. K. Baker & G. Filbeck (Eds.), Investment risk management (Chapter 15). Oxford: Oxford University Press.
  20. Verordnung über Risikomanagement und Risikomessung beim Einsatz von Derivaten, Wertpapier-Darlehen und Pensionsgeschäften in Investmentvermögen nach dem Kapitalanlagegesetzbuch (Derivateverordnung—DerivateV). 2013. Retrieved from: https://www.gesetze-im-internet.de/derivatev_2013/BJNR246300013.html
  21. Wahl, J. E., & Broll, U. (2005). Value at risk, bank equity and credit risk. In: M. Frenkel, U. Hommel & M. Rudolf (Eds.), Risk management (pp. 159–168). Berlin, Heidelberg: Springer.
DOI: https://doi.org/10.18559/ebr.2022.2.5 | Journal eISSN: 2450-0097 | Journal ISSN: 2392-1641
Language: English
Page range: 80 - 91
Submitted on: Feb 24, 2022
Accepted on: Jun 25, 2022
Published on: Jul 18, 2022
Published by: Poznań University of Economics and Business Press
In partnership with: Paradigm Publishing Services
Publication frequency: 4 issues per year

© 2022 Udo Broll, Andreas Förster, published by Poznań University of Economics and Business Press
This work is licensed under the Creative Commons Attribution 4.0 License.