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• W3092147966 abstract "Capital adequacy is the key microprudential and macroprudential tool of banking regulation. Financial models of capital adequacy are subject to errors, which may prevent from estimating a sufficient capital base to absorb bank losses during economic downturns. In this paper, we propose a general method to account for model risk in capital requirements calculus related to market risk. We then evaluate and compare our capital requirements values with those obtained under Basel 2.5 and the new Basel 4 regulation. Capital requirements adjusted for model risk perform well in containing losses generates in normal and stressed times. In addition, they are as conservative as Basel 4 capital requirements, but they exhibit less fluctuations over time. • a framework combining model risk with capital requirements for market risk • order statistics theory to derive confidence intervals for quantile risk measures • a new model validation tool based on difference between quantiles measures • capital requirements adjusted for model risk cover losses in stressed periods • our calculations and Basel 4 capital requirements are superior to Basel 2.5" @default.
• W3092147966 created "2020-10-15" @default.
• W3092147966 creator A5006183476 @default.
• W3092147966 creator A5030319412 @default.
• W3092147966 creator A5073053563 @default.
• W3092147966 date "2020-12-01" @default.
• W3092147966 modified "2023-10-16" @default.
• W3092147966 title "A cost-benefit analysis of capital requirements adjusted for model risk" @default.
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• W3092147966 doi "https://doi.org/10.1016/j.jcorpfin.2020.101753" @default.
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