Viewing risk measures as information

Dominique Guegan () and Wayne Tarrant ()
Additional contact information
Dominique Guegan: Centre d'Economie de la Sorbonne, https://cv.archives-ouvertes.fr/dominique-guegan
Wayne Tarrant: Department of Mathematics - Wingate University

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

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 (search for similar items in EconPapers)
JEL-codes: C16 E52 G18 (search for similar items in EconPapers)
Pages: 15 pages
Date: 2011-08
New Economics Papers: this item is included in nep-ban, nep-reg, nep-rmg and nep-upt
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ftp://mse.univ-paris1.fr/pub/mse/CES2011/11054.pdf (application/pdf)

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:mse:cesdoc:11054

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