Capital Requirements for Securities Firms
AbstractRegulatory authorities set capital requirements to cover the position risk of securities firms and to protect against losses arising from fluctuations in the value of their holdings. The requirements may be set using the comprehensive approach required by the U.S. Securities and Exchange Commission, the building-block approach required by the European Community, or the portfolio approach required by the United Kingdom. We compare these three alternatives using a large sample of U.K. equity trading books. The portfolio approach systematically specifies larger requirements for riskier books, and vice versa. It is more efficient than the building-block approach, and far more efficient than the comprehensive approach. Copyright 1995 by American Finance Association.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. 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.
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.
Bibliographic InfoArticle provided by American Finance Association in its journal Journal of Finance.
Volume (Year): 50 (1995)
Issue (Month): 3 (July)
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Patricia Jackson & David Maude & William Perraudin, 1998. "Bank Capital and Value at Risk," Bank of England working papers 79, Bank of England.
- Jeremy Berkowitz & James O'Brien, 2001. "How accurate are Value-at-Risk models at commercial banks?," Finance and Economics Discussion Series 2001-31, Board of Governors of the Federal Reserve System (U.S.).
- Arup Daripa & Simone Varotto, 2005.
"Ex Ante Versus Ex Post Regulation of Bank Capital,"
- Dr Arup Daripa & Dr. Simone Varotto, 2004. "Ex Ante versus Ex Post Regulation of Bank Capital," ICMA Centre Discussion Papers in Finance icma-dp2004-12, Henley Business School, Reading University.
- Arup Daripa & Simone Varotto, 2005. "Ex Ante Versus Ex Post Regulation of Bank Capital," Birkbeck Working Papers in Economics and Finance 0518, Birkbeck, Department of Economics, Mathematics & Statistics.
- Paul H. Kupiec & James M. O'Brien, 1997. "The pre-commitment approach: using incentives to set market risk capital requirements," Finance and Economics Discussion Series 1997-14, Board of Governors of the Federal Reserve System (U.S.).
- William Fallon, 1996. "Calculating Value-at-Risk," Center for Financial Institutions Working Papers 96-49, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Andrew Kuritzkes & Til Schuermann & Scott M. Weiner, 2002. "Risk Measurement, Risk Management and Capital Adequacy in Financial Conglomerates," Center for Financial Institutions Working Papers 03-02, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Dimson, Elroy & Marsh, Paul, 1997.
"Stress tests of capital requirements,"
Journal of Banking & Finance,
Elsevier, vol. 21(11-12), pages 1515-1546, December.
- Paul H. Kupiec & A. Patricia White, 1996. "Regulatory competition and the efficiency of alternative derivative product margining systems," Finance and Economics Discussion Series 96-11, Board of Governors of the Federal Reserve System (U.S.).
- Jose A. Lopez, 1997.
"Regulatory evaluation of value-at-risk models,"
33, Federal Reserve Bank of New York.
- Jose A. Lopez, 1996. "Regulatory Evaluation of Value-at-Risk Models," Center for Financial Institutions Working Papers 96-51, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Jose A. Lopez, 1997. "Regulatory evaluation of value-at-risk models," Research Paper 9710, Federal Reserve Bank of New York.
- George McKenzie & Simon Wolfe, 2004. "The impact of environmental risk on the UK banking sector," Applied Financial Economics, Taylor & Francis Journals, vol. 14(14), pages 1005-1016.
- Christoffersen, Peter & Hahn, Jinyong & Inoue, Atsushi, 2001.
"Testing and comparing Value-at-Risk measures,"
Journal of Empirical Finance,
Elsevier, vol. 8(3), pages 325-342, July.
- Brooks, C. & Clare, A. D. & Persand, G., 2000. "A word of caution on calculating market-based minimum capital risk requirements," Journal of Banking & Finance, Elsevier, vol. 24(10), pages 1557-1574, October.
- Arupratan Daripa & Simone Varotto, 1997. "Agency Incentives and Reputational Distortions: a Comparison of the Effectiveness of Value-at-Risk and Pre-commitment in Regulating Market Risk," Bank of England working papers 69, Bank of England.
- Vlaar, Peter J. G., 2000. "Value at risk models for Dutch bond portfolios," Journal of Banking & Finance, Elsevier, vol. 24(7), pages 1131-1154, July.
- Hentschel, Ludger & Smith, Clifford Jr., 1997. "Derivatives regulation: Implications for central banks," Journal of Monetary Economics, Elsevier, vol. 40(2), pages 305-346, October.
- Cabedo Semper, J. David & Moya Clemente, Ismael, 2003. "Value at risk calculation through ARCH factor methodology: Proposal and comparative analysis," European Journal of Operational Research, Elsevier, vol. 150(3), pages 516-528, November.
- Glyn A. Holton, 2002. "History of Value-at-Risk: 1922-1998," Method and Hist of Econ Thought 0207001, EconWPA.
- Coskun, Yener, 2010.
"Aracı Kurumların Risk Haritası (Risk Maps of Securities Firms)
[Risk Maps of Securities Firms]," MPRA Paper 28368, University Library of Munich, Germany.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.