Viewing Risk Measures as Information
AbstractRegulation and risk management in banks depend on underlying risk measures. In general this is the only purpose that is seen for risk measures. In this paper we suggest that the reporting of risk measures can be used to determine the loss distribution function for a financial entity. We demonstrate that a lack of sufficient information can lead to ambiguous risk situations. We give examples, showing the need for the reporting of 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.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1111.4417.
Date of creation: Nov 2011
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-11-28 (All new papers)
- NEP-BAN-2011-11-28 (Banking)
- NEP-REG-2011-11-28 (Regulation)
- NEP-RMG-2011-11-28 (Risk Management)
- NEP-UPT-2011-11-28 (Utility Models & Prospect Theory)
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- repec:hal:cesptp:halshs-00375765 is not listed on IDEAS
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