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| HAL: halshs-00721339, version 1 |
| DOI: 10.1007/s10436-012-0205-2 |
| Detailed view |  Export this paper |
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| Annals of Finance 8, 4 (2012) 533-552 |
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| On the Necessity of Five Risk Measures |
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| Dominique Guegan 1, 2Wayne Tarrant 3 |
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| (2012-11) |
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| 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 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. |
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| 1: | Centre d'économie de la Sorbonne (CES) |
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CNRS : UMR8174 – Université Paris I - Panthéon-Sorbonne |
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| 2: | Ecole d'Économie de Paris - Paris School of Economics (EEP-PSE) |
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Ecole d'Économie de Paris |
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| 3: | Wingate University |
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Department of Mathematics |
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| Axe Finance |
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| Subject | : | Humanities and Social Sciences/Economies and finances Humanities and Social Sciences/Business administration Humanities and Social Sciences/Methods and statistics Mathematics/Probability Mathematics/Statistics Statistics/Statistics Theory |
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| Risk measure – Value at Risk – Bank capital – Basel II Accord |
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| Attached file list to this document: | |||||
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| halshs-00721339, version 1 | |
| http://halshs.archives-ouvertes.fr/halshs-00721339 | |
| oai:halshs.archives-ouvertes.fr:halshs-00721339 | |
| From: Dominique Guegan | |
| Submitted on: Friday, 27 July 2012 16:56:53 | |
| Updated on: Monday, 6 May 2013 16:40:53 | |
