Viewing Risk Measures as information

Dominique Guegan () and Wayne Tarrant ()
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Dominique Guegan: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique
Wayne Tarrant: Wingate University - UBC - University of British Columbia [Canada]

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Abstract: Regulation 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.

Keywords: Risk measure; Value at Risk; bank capital; Basel II accord; Mesures de risque; VaR; capital bancaire; accord de Bâle II (search for similar items in EconPapers)
Date: 2011-08
New Economics Papers: this item is included in nep-ban, nep-reg, nep-rmg and nep-upt
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00639489v1
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Published in 2011

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Related works:
Working Paper: Viewing Risk Measures as information (2012)
Working Paper: Viewing risk measures as information (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:cesptp:halshs-00639489

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