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Viewing Risk Measures as Information
Year Of Publication: 2011
Month Of Publication: August
Pages: 14
Download Count: 3
View Count: 1125
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 8-25-2012
Publisher: Administrator
Summary
Regulation and risk management in banks depend on underlying risk measures. In general this is the only purpose that is seen for risk measures. In this paper we suggest that the reporting of risk measures can be used to determine the loss distribution function for a financial entity. We demonstrate that a lack of sufficient information can lead to ambiguous risk situations. We give examples, showing the need for the reporting of multiple risk measures in order to determine a bank’s loss distribution. We conclude by suggesting a regulatory requirement of multiple risk measures being reported by banks, giving specific recommendations.
Author(s)
Guegan, Dominique Sign in to follow this author
Tarrant, Wayne Sign in to follow this author
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