External Risk Measures and Basel Accords
本文提出一类新的基于数据的风险度量——自然风险统计量，它兼具稳健性，能应对模型误设和数据微小变化，为理解和扩展巴塞尔协议提供了理论框架。
Choosing a proper external risk measure is of great regulatory importance, as exemplified in the Basel II and Basel III Accords, which use value-at-risk with scenario analysis as the risk measures for setting capital requirements. We argue that a good external risk measure should be robust with respect to model misspecification and small changes in the data. A new class of data-based risk measures called natural risk statistics is proposed to incorporate robustness. Natural risk statistics are characterized by a new set of axioms. They include the Basel II and III risk measures and a subclass of robust risk measures as special cases; therefore, they provide a theoretical framework for understanding and, if necessary, extending the Basel Accords.