The Basel II Accord on Measuring and Managing a Bank's Risks

@inproceedings{Stancu2007TheBI,
  title={The Basel II Accord on Measuring and Managing a Bank's Risks},
  author={Ion Alexandru Stancu and Andrei Tinca},
  year={2007}
}
The abundance of risk metrics stems from the effort to measure the difference between the expected and actual returns, under a hypothesis of normality. Under the assumption of risk aversion, investors are likely to quantify risk using metrics which measure returns lower than the expected average. These include the semi-variance of returns smaller than the average, the risk of loss – a return under a chosen level, usually 0%, and value-at-risk, for the greatest losses, with a probability of less… CONTINUE READING

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