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On the necessity of five risk measures
Year Of Publication: 2011
Month Of Publication: November
Pages: 23
Download Count: 14
View Count: 1853
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 3-23-2010
Publisher: Administrator
Summary
The banking systems that deal with risk management depend on underlying risk measures. Following the recommendation of the Basel II accord, most banks have developed internal models to determine their capital requirement. The Value at Risk measure plays an important role in computing this capital. In this paper we analyze in detail the errors produced by the use of this measure. We then discuss other measures, pointing out their strengths and shortcomings. We give detailed examples, showing the need for five risk measures in order to compute a capital in relation to the risk to which the bank is exposed. In the end we suggest using five different risk measures for computing capital requirements.
This document is published in Annals of Finance (volume 8, number 4), November 2012, 533-552.
http://dx.doi.org/10.1007/s10436-012-0205-2
Author(s)
Guegan, Dominique Sign in to follow this author
Tarrant, Wayne Sign in to follow this author
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