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

Tim Shepheard-Walwyn and Robert Litterman

Economic Policy Review, 1998, issue Oct, pages 171-182

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.

Keywords: Risk; Econometric models; Bank capital; Financial institutions (search for similar items in EconPapers)
Date: 1998
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