By Imad A. Moosa (auth.)
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While the VAR is the threshold value for which in c percent of instances (where c is the conﬁdence level), the loss is smaller than the VAR, the ETL is an estimate of the average loss when the loss exceeds VAR. 5 shows the ETL in relation to the VAR. , 1999). 3 The probability, frequency, and severity of loss In general, risk is measured in terms of two parameters: the probability of making loss and the potential amount lost if a loss event occurs. Thus, total risk may be measured as the product of the loss amount and the probability 12 O P E R AT I O N A L R I S K M A N A G E M E N T that the loss will occur.
Having exposed all of the weaknesses of Basel I, a last word in favor of the Accord is warranted. In defense of Basel I, Fischer (2002) argues that any strictly rule-based approach to regulation is bound to run the risk of distorting activity in unexpected ways and encouraging regulatory arbitrage. THE BASEL COMMITTEE, BASEL I AND BASEL II 37 This view constitutes negative defense of Basel I, in the sense that it is not the only accord that will fail. Is this an omen for Basel II? 4 THE BASEL II ACCORD: AN INTRODUCTION “The Accord is dead – long live the Accord”.
The distinction between systemic and idiosyncratic risk may sound similar to the distinction between fundamental and particular risk, but this is not the case. Unlike fundamental risk, systemic risk may result from a ﬁrm-speciﬁc event if, for example, this ﬁrm is unable to meet its obligations to other ﬁrms. Endogenous versus exogenous risk This distinction is due to Danielsson and Shin (2003). Endogenous risk refers to the risk from shocks that are generated and ampliﬁed within the system. Exogenous risk refers to shocks that arise from outside the system.