An academic response to Basel II

By Paul Embrechts, Jón Dańıelsson, C. Goodhart, C. Keating, F. Muennich, Olivier Renault, Hyun Song Shin. 2001

453 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/7ac940b89a2c34ad347c6ab3c485eef49824267b

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Citations in the corpus

Internal ratings, the business cycle and capital requirements: some evidence from an emerging market economy (2002, background): “…of business cycles.1 While these concerns are generally expressed with reference to the wealthiest countries, they are perhaps 1 See for example, Danielsson et al (2001), the European Central Bank (2001), the Federal Banking Supervisory Office of Germany (2001), the International Monetary Fund…”
Global Banking Glut and Loan Risk Premium (2012, background): “…to emphasize the link between the expansion of global banking and the risk management practices embodied in the Basel II regulations, the key element of the theoretical model 7See Danielsson et al. (2001) for an early comment on the potential adverse impact of Basel II for financial stability.”
Capital and Risk: New Evidence on Implications of Large Operational Losses (2006, background): “Some have suggested that the frequency of large operational losses does vary over time (Danielsson et al. 2001, Embrechts, Kaufmann, and Samorodnitsky 2002).”
Monetary and Prudential Policies at a Crossroads? New Challenges in the New Century (2006, background): “It has 23 The literature on this has been growing exponentially; see eg Borio and Crockett (2000), Borio et al (2001), Danielsson et al (2001), ECB (2001), Gordy and Howells (2004), Catarineu-Rebell et al (2003), Segoviano and Lowe (2002), Kashyap and Stein (2004), Ayuso et al (2004) and Taylor and…”
THE THEORY OF GLOBAL GAMES ON TEST: EXPERIMENTAL ANALYSIS OF COORDINATION GAMES WITH PUBLIC AND PRIVATE INFORMATION (2004, background): “2See Morris and Shin (1999), Daníelson et al. (2001), Heinemann and Illing (2002), Hellwig (2002), Metz (2002), and Prati and Sbracia (2002).”
The Limits of Model-based Regulation (2014, unknown): “…The introduction of risk-weighted capital charges and the potential problems associated with them have been discussed in several papers, for example, Brinkmann and Horvitz (1995), Jones (2000), Daníelsson, Embrechts, Goodhart, Keating, Muennich, Renault, and Shin (2001), Kashyap and…”
Do banks overstate their Value-at-Risk? (2008, background): “Despite vigorous criticisms over its mathematical properties (Artzner et al., 2001) and over its potential destabilizing effects on the economy (Danielsson et al., 2001, Basak and Shapiro, 2001, and Leippold et al., 2006), VaR remains the reference measure for market risk.1 In accordance with…”
Bank Risk and Monetary Policy (2010, unknown): “…in managerial remuneration schemes (Rajan, 2005), widespread use of Value-at-Risk methodologies for economic and regulatory capital purposes (Danielsson et al., 2001, 2004), pro-cyclicality of bank leverage (Adrian and Shin, 2008).15 In order to check if the different effects of monetary…”
Extreme-Quantile Tracking for Financial Time Series (2014, methodology): “The statistical theory was initially worked out by Davison and Smith [1990] and Davison [1984a].”