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

Author

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  • Robert B. Litterman
  • Tim Shepheard-Walwyn

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

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

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    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.
    3. João A. C. Santos, 2000. "Bank capital regulation in contemporary banking theory: a review of the literature," BIS Working Papers 90, Bank for International Settlements.

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