An academic response to Basel II

Download paper

   Daníelsson, J., P. Embrechts, C. Goodhart, C. Keating, F. Muennich, O. Renault, and H. S. Shin (2001). An academic response to Basel II. 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 =    {www.bis.org/bcbs/ca/fmg.pdf},
  url =     {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
Risk research
Jon Danielson's research papers on systemic risk, artificial intelligence, risk forecasting, financial regulations and crypto currencies.
© All rights reserved, Jon Danielsson,