Concave risk measures in international capital regulation

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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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Statistical Mechanics, Risk Management

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http://salesiana.dossiersoluciones.com/handle/123456789/210102

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/cond-mat/0307244
 http://arxiv.org/abs/cond-mat/0307244

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arXiv