External Risk Measures and Basel Accords

• 成果类型: Article
• 署名作者: Kou, Steven; Peng, Xianhua; Heyde, Chris C.
• 署名单位: Columbia University; Hong Kong University of Science & Technology
• 刊物名称: MATHEMATICS OF OPERATIONS RESEARCH
• ISSN/ISSBN: 0364-765X
• DOI: 10.1287/moor.1120.0577
• 发表日期: 2013
• 页码: 393-417
• 关键词: expected utility; diversification; Robustness; aversion

摘要

Choosing a proper external risk measure is of great regulatory importance, as exemplified in the Basel II and Basel III Accords, which use value-at-risk with scenario analysis as the risk measures for setting capital requirements. We argue that a good external risk measure should be robust with respect to model misspecification and small changes in the data. A new class of data-based risk measures called natural risk statistics is proposed to incorporate robustness. Natural risk statistics are characterized by a new set of axioms. They include the Basel II and III risk measures and a subclass of robust risk measures as special cases; therefore, they provide a theoretical framework for understanding and, if necessary, extending the Basel Accords.