Ex. IV.8.2 Comparison of Internal and Standardized MRC

Discussion on Value-at-Risk Models
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josh
Posts: 9
Joined: Wed May 02, 2012 10:30 pm

Ex. IV.8.2 Comparison of Internal and Standardized MRC

Postby josh » Fri Nov 02, 2012 8:35 pm

Good Day Prof Carol,

The result in this example is quite interesting as it proves that the IRC somewhat penalizes models that are reactive to volatility change, which produces higher VaR during turmoil and reward models that are not sensitive or reactive. This is in line with the result of my paper i am currently working on. I have been researching for journals/studies with similar sentiment to support my result but all i found are discussions about criticisms of the IRC but no actual study. Can you please suggest further reading with similar result? Or do you have any other paper with the same topic?

Thank you so much,
Josh

coalexander
Posts: 815
Joined: Sun Sep 28, 2008 10:30 pm

Re: Ex. IV.8.2 Comparison of Internal and Standardized MRC

Postby coalexander » Sat Nov 03, 2012 4:43 pm

Dear Josh,

I suggest you check the latest Basel proposals because I think the IRC proposal may have been dropped when the StressedVaR proposal was introduced. This may be why there is not much out there on the internet.

Certainly, the latest proposal for a change from VaR to ETL will dominate all other proposed changes for Basel III.

See http://www.bis.org/publ/bcbs148.htm and http://www.bis.org/publ/bcbs219.htm for further information.

cheers, Carol


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