On the necessity of five risk measures

Dominique Guegan () and Wayne Tarrant ()
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Dominique Guegan: Centre d'Economie de la Sorbonne - Paris School of Economics, 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: The banking systems that deal with risk management depend on underlying risk measures. Following the recommendation of the Basel II accord, most banks have developed internal models to determine their capital requirement. The Value at Risk measure plays an important role in computing this capital. In this paper we analyze in detail the errors produced by use of this measure. We then discuss other measures, pointing out their strengths and shortcomings. We give detailed examples, showing the need for five risk measures in order to compute a capital in relation to the risk to which the bank is exposed. In the end, we suggest using five different risk measures for computing capital requirements

Keywords: Risk measure; value at risk; bank capital; Basel II accord (search for similar items in EconPapers)
JEL-codes: C16 E52 G18 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2010-01
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Citations: View citations in EconPapers (1)

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http://mse.univ-paris1.fr/pub/mse/CES2010/10005.pdf (application/pdf)

Related works:
Journal Article: On the necessity of five risk measures (2012)
Working Paper: On the Necessity of Five Risk Measures (2012)
Working Paper: On the necessity of five risk measures (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:10005

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