University of Twente Student Theses
An empirical study of the revisions to the Internal models approach for market risk under the Fundamental Review of the Trading Book
Bockstette, Henrik (2017) An empirical study of the revisions to the Internal models approach for market risk under the Fundamental Review of the Trading Book.
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| Abstract: | In a world where due to globalization and interaction a single distress can lead to a global financial crisis, risk management systems, supervision and setting regulations by a third party is crucial to ensure a healthy banking system. Therefore, the Basel Committee on Banking Supervision published its new standards to determine the minimum capital requirements for banks to prevent situations such as the global mortgage crisis to happen again in the future. This thesis studies the different underlying risk measures to determine market risk namely the Value-at-Risk and Expected Shortfall and examine the impact of new regulations set by the Basel Committee on Banking Supervision on banks. |
| Item Type: | Essay (Master) |
| Faculty: | BMS: Behavioural, Management and Social Sciences |
| Subject: | 85 business administration, organizational science |
| Programme: | Business Administration MSc (60644) |
| Link to this item: | https://purl.utwente.nl/essays/73749 |
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