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- W4321151280 abstract "The banking systems that deal with risk management depend on underlying risk measures. Following the Basel II accord, there are two separate methods by which banks may determine their capital requirement. The Value at Risk measure plays an important role in computing the capital for both approaches. In this paper we analyze the errors produced by using this measure. We discuss other measures, demonstrating their strengths and shortcomings. We give examples, showing the need for the information from 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." @default.
- W4321151280 created "2023-02-18" @default.
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- W4321151280 date "2011-11-18" @default.
- W4321151280 modified "2023-10-16" @default.
- W4321151280 title "On the Necessity of Five Risk Measures" @default.
- W4321151280 doi "https://doi.org/10.48550/arxiv.1111.4414" @default.
- W4321151280 hasPublicationYear "2011" @default.
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