Risk or Regulatory Capital? Bringing distributions back in the foreground

Dominique Guegan () and Bertrand K. Hassani ()
Additional contact information
Dominique Guegan: Centre d'Economie de la Sorbonne, https://cv.archives-ouvertes.fr/dominique-guegan
Bertrand K. Hassani: Grupo Santander et Centre d'Economie de la Sorbonne, https://centredeconomiesorbonne.univ-paris1.fr

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

Abstract: This paper discusses the regulatory requirement (Basel Committee, ECB-SSM and EBA) to measure financial institutions' major risks, for instance Market, Credit and Operational, regarding the choice of the risk measures, the choice of the distributions used to model them and the level of confidence. We highlight and illustrate the paradoxes and the issues observed implementing an approach over another and the inconsistencies between the methodologies suggested and the goal to achieve. This paper make some recommendations to the supervisor and proposes alternative procedures to measure the risks

Keywords: Risk measures; Sub-additivity; Level of confidence; Extreme value distributions; Financial regulation (search for similar items in EconPapers)
JEL-codes: C1 C6 (search for similar items in EconPapers)
Pages: 42 pages
Date: 2015-05
New Economics Papers: this item is included in nep-ban, nep-cba and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
ftp://mse.univ-paris1.fr/pub/mse/CES2015/15046.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:15046

Access Statistics for this paper

More papers in Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne Contact information at EDIRC.
Bibliographic data for series maintained by Lucie Label ().