Risk research: An academic response to Basel II

An academic response to Basel II

Daníelsson, J., P. Embrechts, C. Goodhart, C. Keating, F. Muennich, O. Renault, and H. S. Shin (2001). An academic response to basel ii. http://www.bis.org/bcbs/ca/fmg.pdf.

Submitted in Response to the Basel Committee's Request for Comments.

@ARTICLE{DanielssonGoodhartShin2001,
  author =  {J{\'o}n Dan{\'i}elsson and Paul Embrechts and Charles
                  Goodhart and Con Keating and Felix Muennich and
                  Olivier Renault and Hyun Song Shin},
  title =   {An academic response to Basel II},
  year =    2001,
  note =    {http://www.bis.org/bcbs/ca/fmg.pdf},
  url =     {http://www.bis.org/bcbs/ca/fmg.pdf},
 }

Using a bootstrap method to choose the sample fraction in tail index estimation

Asset Price Dynamics with Value-at-Risk Constrained Traders