An Academic Response to Basel 3.5
主 题: An Academic Response to Basel 3.5
报告人: Prof. Ruodu Wang（Department of Statistics
时 间: 2013-12-26 16:10-17:10
地 点: 理科1号楼1493（主持人：杨静平）
Recent crises in the financial industry have shown weaknesses in the modeling of Risk-Weighted Assets (RWA). Relatively minor model changes may lead to substantial changes in the RWA numbers. Similar problems are encountered in the VaR-aggregation of risks under model uncertainty. In this talk we highlight some of the underlying issues related to VaR, ES and other risk management techniques. In particular we frame this discussion in the context of two recent regulatory documents we refer to as Basel 3.5.