IDEAS home Printed from https://ideas.repec.org/a/fip/fednep/y1998ioctp171-182nv.4no.3.html
   My bibliography  Save this article

Building a coherent risk measurement and capital optimisation model for financial firms

Author

Listed:
  • Tim Shepheard-Walwyn
  • Robert B. Litterman

Abstract

This paper was presented at the conference "Financial services at the crossroads: capital regulation in the twenty-first century" as part of session 5, "International capital allocation at financial institutions." The conference, held at the Federal Reserve Bank of New York on February 26-27, 1998, was designed to encourage a consensus between the public and private sectors on an agenda for capital regulation in the new century.

Suggested Citation

  • Tim Shepheard-Walwyn & Robert B. Litterman, 1998. "Building a coherent risk measurement and capital optimisation model for financial firms," Economic Policy Review, Federal Reserve Bank of New York, issue Oct, pages 171-182.
  • Handle: RePEc:fip:fednep:y:1998:i:oct:p:171-182:n:v.4no.3
    as

    Download full text from publisher

    File URL: https://www.newyorkfed.org/medialibrary/media/research/epr/98v04n3/9810shep.pdf
    Download Restriction: no

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Wiener, Zvi, 2012. "The value of Value-at-Risk: A theoretical approach to the pricing and performance of risk measurement systems," Journal of Economics and Business, Elsevier, vol. 64(3), pages 199-213.
    2. Weijermars, Ruud, 2009. "Accelerating the three dimensions of E&P clockspeed - A novel strategy for optimizing utility in the Oil & Gas industry," Applied Energy, Elsevier, vol. 86(10), pages 2222-2243, October.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fip:fednep:y:1998:i:oct:p:171-182:n:v.4no.3. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Amy Farber). General contact details of provider: http://edirc.repec.org/data/frbnyus.html .

    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.

    We have no references for this item. You can help adding them by using 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.