Revised Basel III better reflects bank risk, research finds
Study says 2013 capital rules more in line with actual risk, but can be easily gamed
The latest version of the Basel III capital rules is a better reflection of the true risks banks face than its predecessors, but the switch from value-at-risk to expected shortfall could have some negative consequences, according to recent research published in the Journal of Risk.
In a paper published this month, Harald Kinateder, a researcher at the University of Passau in Germany, compared minimum capital requirements under Basel II, the original 2010 version of Basel III, and its subsequent
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