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 HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number halshs-00639489.
Date of creation: Aug 2011
Date of revision:
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Risk measure; Value at Risk; bank capital; Basel II accord;
Other versions of this item:
- Dominique Guegan & Wayne Tarrant, 2012. "Viewing Risk Measures as information," UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers), HAL halshs-00721350, HAL.
- Dominique Guegan & Wayne Tarrant, 2011. "Viewing risk measures as information," Documents de travail du Centre d'Economie de la Sorbonne, UniversitÃ© PanthÃ©on-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne 11054, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-11-21 (All new papers)
- NEP-BAN-2011-11-21 (Banking)
- NEP-REG-2011-11-21 (Regulation)
- NEP-RMG-2011-11-21 (Risk Management)
- NEP-UPT-2011-11-21 (Utility Models & Prospect Theory)
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.:
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