Page 1 of 1
Why is Basel introducing expected shortfall measue as a major measure ONLY NOW?
Posted: August 12th, 2015, 8:32 pm
by kartashove
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?
Why is Basel introducing expected shortfall measue as a major measure ONLY NOW?
Posted: August 12th, 2015, 9:54 pm
by Traden4Alpha
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.
Why is Basel introducing expected shortfall measue as a major measure ONLY NOW?
Posted: August 17th, 2015, 12:28 pm
by kartashove
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.
Why is Basel introducing expected shortfall measue as a major measure ONLY NOW?
Posted: August 26th, 2015, 7:37 pm
by DavidJN
How many companies have been saved by relying on VaR or VaR-like measures? I can think of some that were destroyed using it!