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

Robert Litterman and Tim Shepheard-Walwyn

Economic Policy Review, 1998, vol. 4, issue Oct, 182 pages

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