Abstract
In this chapter, considering the Basel framework (BCBS, International convergence of capital measurement and capital standards: A revised framework, comprehensive version, http://www.bis.org/publ/bcbs128, 2006), we offer a brief overview of financial regulation regarding both risk measures and risk measurement and their impact on risk management. In this chapter the financial regulation will be presented per risk type. This chapter aims at providing elements to put risk measurement into perspective and to provide concrete elements regarding their limitations once applied.
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Notes
- 1.
In this section financial values are assumed in euros.
- 2.
The expected shortfall will be formally introduced in the next chapter, but for clarity purposes, we will state that the expected shortfall represents the expected loss above a threshold, usually the VaR.
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Guégan, D., Hassani, B.K. (2019). Financial Institutions: A Regulation Review Through the Risk Measurement Prism. In: Risk Measurement. Springer, Cham. https://doi.org/10.1007/978-3-030-02680-6_2
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DOI: https://doi.org/10.1007/978-3-030-02680-6_2
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