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Quantile-VaR is the wrong measure to quantify market risk for regulatory purposes

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  • Jaschke, Stefan R.
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    Abstract

    Starting from the objective of banking supervision - to minimize the overall costs of banking to the general public - we show that the current standard of quantifying market risk is flawed. It is perfectly aligned with the interests of banks' shareholders and management, but not with the interests of the general public. This is unsatisfactory from a normative point of view, as significant public resources are used for banking supervision. --

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    File URL: http://econstor.eu/bitstream/10419/62690/1/725394684.pdf
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    Bibliographic Info

    Paper provided by Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes in its series SFB 373 Discussion Papers with number 2001,55.

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    Date of creation: 2001
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    Handle: RePEc:zbw:sfb373:200155

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    Related research

    Keywords: VaR; banking regulation; supervision; risk measures; Basel Accord;

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    Cited by:
    1. Lan-chih Ho & John Cadle & Michael Theobald, 2011. "An analysis of risk-based asset allocation and portfolio insurance strategies," Review of Quantitative Finance and Accounting, Springer, vol. 36(2), pages 247-267, February.

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