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01.11.2012 | Research Article

On the necessity of five risk measures

verfasst von: Dominique Guégan, Wayne Tarrant

Erschienen in: Annals of Finance | Ausgabe 4/2012

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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.

Vorheriger Artikel The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices

Nächster Artikel Are performance measures equally stable?

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Titel: On the necessity of five risk measures
verfasst von: Dominique Guégan
Wayne Tarrant
Publikationsdatum: 01.11.2012
Verlag: Springer-Verlag
Erschienen in: Annals of Finance / Ausgabe 4/2012
Print ISSN: 1614-2446
Elektronische ISSN: 1614-2454
DOI: https://doi.org/10.1007/s10436-012-0205-2

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