Laurent Mortreuil in Jerome Brun, Basel II.5: the regulators' reply to the limits of Value-at-Risk during the crisis

Date of publication: 10. 10. 2011
Mathematics colloquium
Petek, 14. 10. 2011, ob 18:30 v predavalnici 2.02 na Jadranski 21.
Laurent Mortreuil
Financial division, Société Générale (Head of Strategic Financial Planning for SG Group)
 
Jerome Brun
Market risk modelling, Société Générale (Chief Financial Officer for Capital Markets)
 
14. oktober 2011

Basel II gave banks the option to capitalize market risk via an advanced approach: Value-at-Risk. The 2007-8 crisis highlighted severe weaknesses of this framework, especially on the credit activities. Our talk will review these weaknesses and see how the new measures asked by the regulators can address them by reinforcing the capital base of banks. We will finally discuss the implementation challenges : the new measures require new modelling approaches, substantially different from the usual VaR approaches.