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kartashove
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Joined: August 11th, 2015, 2:10 pm

Why is Basel introducing expected shortfall measue as a major measure ONLY NOW?

August 12th, 2015, 8:32 pm

In a 0.05-quantile there could be a dozen of deadly losses, each one of then can kill you, all safely hidden under a drill-down button on the report. Did it really take couple of decades to realize that? Or, there's some substantial reasons for it being neglected for so long?
Last edited by kartashove on August 11th, 2015, 10:00 pm, edited 1 time in total.
 
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Traden4Alpha
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Joined: September 20th, 2002, 8:30 pm

Why is Basel introducing expected shortfall measue as a major measure ONLY NOW?

August 12th, 2015, 9:54 pm

The financial system is built on trust, not models.Introducing realistic expected shortfall measures when financial systems are at a low point would guarantee the realization of those deadly losses. It's best to just whistle past the graveyard.
 
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kartashove
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Why is Basel introducing expected shortfall measue as a major measure ONLY NOW?

August 17th, 2015, 12:28 pm

Basel committee positions itself as a universal advisor to risk management in banks around the world. There has to be some argumentation why this wasn't introduced earlier. Before 2008. Before 2001 etc.
 
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DavidJN
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Joined: July 14th, 2002, 3:00 am

Why is Basel introducing expected shortfall measue as a major measure ONLY NOW?

August 26th, 2015, 7:37 pm

How many companies have been saved by relying on VaR or VaR-like measures? I can think of some that were destroyed using it!