Concave risk measures in international capital regulation

Details Concave risk measures in international capital regulation Concave risk measures in international capital regulation

2003-07-10

arxiv.org/abs/cond-mat/0307244v1

Physics

Condensed Matter

Statistical Mechanics

Scientific paper

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.

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