Measuring Market Risk in the Light of Basel III: New Evidence From Frontier Markets
Abstract
The recent 2008–09 financial crisis has led international financial authorities to review the existing regulations in order to strengthen the risk coverage of the capital framework. These reforms will help to raise capital requirements for the trading book, which represents a major source of losses for international financial institutions, especially during crisis periods. In particular, the Basel Committee on Banking Supervision has introduced a stressed value at risk (SVaR) capital requirement as a new methodology to evaluate market risk. This chapter focuses ...
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