Abstract
In what follows, we discuss the origins of financial institutions modern risk management, before introducing the methodological aspects of risk measurement. Indeed, for the financial industry, if risk measurement is naturally associated with risk management, then risk management cannot be discuss without addressing the regulatory impact on the latter. Therefore, in the following we present what in our opinion triggered the first Basel accord and how these evolved to today’s version of them.
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- 1.
Note that contrary to the European union, the American Federal Reserve does not only have to deal with inflation but also with the unemployment rate.
- 2.
This type of settlement risk, in which one party in a foreign exchange trade pays out the currency it sold but does not receive the currency it bought, is sometimes called Herstatt risk.
- 3.
Despite the measures taken, in many areas regulatory capital requirements were diverging from the economic capital.
- 4.
The disclosures under Pillar 3 were usually applied to the top consolidated level of the target financial group.
- 5.
The implementation date has actually been postponed multiple times over the past years.
- 6.
In July 2013, the US Federal Reserve announced that the minimum Basel III leverage ratio would be 6% for eight systemically important financial institution (SIFI) banks and 5% for their insured bank holding companies.
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Guégan, D., Hassani, B.K. (2019). Introduction. In: Risk Measurement. Springer, Cham. https://doi.org/10.1007/978-3-030-02680-6_1
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