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BCBS
Regulatory consistency assessment programme (RCAP) – analysis of risk‐weighted assets for market risk
R. Rebonato
Plight of the Fortune Tellers
R. Lucas
Econometric policy evaluation: a critique
E. Abbe, A. Khandani, A. Lo
Privacy‐preserving methods for sharing financial risk exposures
D. Bisias, M. Flood, A. Lo, S. Valavanis
A survey of systemic risk analytics
Purpose – The purpose of this paper is to present a policy proposal for building a new framework for gathering, measuring and disclosing financial risk information in the global economy. Design/methodology/approach – The paper examines the current state of the financial risk framework, notes its advantages and disadvantages and proposes a new construct that aims to address some of the shortcomings that are currently in place. The goals of a robust financial risk model are examined to determine the design of the proposed risk framework. Findings – The proposed open‐source financial risk model separates the dual function that internal risk models perform within financial institutions, first to attempt to optimize the risk–return profile of mostly private economic rent‐seeking entities, and second to maximize safety and soundness considerations for the public which is at risk of bearing the consequences of financial actors. Practical implications – The model allows widespread use of robust financial risk models. Social implications – The model enables a more transparent and democratic process for risk management. Originality/value – The study proposes a new global supervisory framework. Practical implications – The model allows widespread use of robust financial risk models. Social implications – The model enables a more transparent and democratic process for risk management. Originality/value – The study proposes a new global supervisory framework.
Journal of Financial Regulation and Compliance – Emerald Publishing
Published: Jul 8, 2014
Keywords: Supervision; Financial institutions; Basel; Open‐source models; Risk management framework; Solvency II
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