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Showing 1 to 2 of 2 for “"Internal Models Approach"”.
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The impact of the FRTB on Market Risk Capital for the South African InterBank Interest Rate Market
… from their trading operations and prescribe two approaches to calculating this minimum capital requirement: (i) a Standardised Approach (SA); and (ii) an Internal Models Approach (IMA). The global financial crisis of 2008 highlighted flaws in the Basel 2 regulatory framework used by banks to …
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Is Value-at-Risk (VaR) a Fair Proxy for Market Risk Under Conditions of Market Leverage?
Ex-post intraday market-risk extrema are compared with ex-ante standard RiskMetrics parametric Value-at-Risk (VaR) limits for three foreign currency futures markets (British Pound, Japanese Yen, Swiss Frank) to determine whether forecasted volatility of market returns based on settlement price data …