Concave risk measures in international capital regulation
Statistical Mechanics
2008-12-10 v1 Risk Management
Abstract
We show that some specific market risk measures implied by current international capital regulation (the Basel Accords and the Capital Adequacy Directive of the European Union) violate the obvious requirement of convexity in some regions in the space of portfolio weights.
Keywords
Cite
@article{arxiv.cond-mat/0307244,
title = {Concave risk measures in international capital regulation},
author = {Imre Kondor and Andras Szepessy and Tunde Ujvarosi},
journal= {arXiv preprint arXiv:cond-mat/0307244},
year = {2008}
}