This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Models of Capital Requirements in Static and Dynamic Settings

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Giacomo Scandolo
Abstract

The aim of this paper is twofold. First, we generalize the notion of capital requirement, originally formulated in a regulatory framework, in order to unify other apparently diverse financial concepts. Second, we stress the interpretation of a capital requirement as a measure of risk, providing a link with the theory of coherent risk measures. We define a capital requirement as the minimal initial cost of a hedging action that makes the original position acceptable. Three basic elements are involved in such a methodology: a system of prices, a class of permitted hedging actions and a criterion of acceptability. Our approach is very general, because we construct capital requirements on vector spaces. However, we will give some concrete applications related, in particular, to the availability of a financial market, to the presence of different business units in an institution or to the fact that pay-offs are spread over different dates. Copyright Banca Monte dei Paschi di Siena SpA, 2004

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.blackwell-synergy.com/servlet/useragent?func=synergy&synergyAction=showTOC&journalCode=ecno&volume=33&issue=3&year=2004&part=null
File Format: text/html
File Function: link to full text
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Publisher Info
Article provided by Banca Monte dei Paschi di Siena SpA in its journal Economic Notes.

Volume (Year): 33 (2004)
Issue (Month): 3 (November)
Pages: 415-435
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:bla:ecnote:v:33:y:2004:i:3:p:415-435

Contact details of provider:
Web page: http://www.blackwellpublishing.com/journal.asp?ref=0391-5026

Order Information:
Web: http://www.blackwellpublishing.com/subs.asp?ref=0391-5026

For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).

Related research
Keywords:

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Castaneda, Pablo, 2006. "Long Term Risk Assessment in a Defined Contribution Pension System," MPRA Paper 3347, University Library of Munich, Germany, revised 30 Apr 2007. [Downloadable!]
Statistics
Access and download statistics

Did you know? Over 80% of the top 1000 economists are registered on RePEc.

This page was last updated on 2009-10-25.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.