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英文标题：
《On the Basel Liquidity Formula for Elliptical Distributions》
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作者：
Janine Balter and Alexander J. McNeil
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最新提交年份：
2018
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英文摘要：
A justification of the Basel liquidity formula for risk capital in the trading book is given under the assumption that market risk-factor changes form a Gaussian white noise process over 10-day time steps and changes to P&L are linear in the risk-factor changes. A generalization of the formula is derived under the more general assumption that risk-factor changes are multivariate elliptical. It is shown that the Basel formula tends to be conservative when the elliptical distributions are from the heavier-tailed generalized hyperbolic family. As a by-product of the analysis a Fourier approach to calculating expected shortfall for general symmetric loss distributions is developed.
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中文摘要：
假设市场风险因素变化在10天的时间步长内形成高斯白噪声过程，且损益变化在风险因素变化中呈线性变化，则给出了交易账簿中风险资本巴塞尔流动性公式的合理性。在风险因素变化为多变量椭圆的更一般假设下，导出了公式的推广。结果表明，当椭圆分布来自重尾广义双曲族时，Basel公式趋于保守。作为分析的副产品，开发了一种计算一般对称损耗分布预期短缺的傅立叶方法。
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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