Quantile-VaR is the wrong measure to quantify market risk for regulatory purposes

Stefan R. Jaschke

No 2001,55, SFB 373 Discussion Papers from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

Abstract: Starting from the objective of banking supervision - to minimize the overall costs of banking to the general public - we show that the current standard of quantifying market risk is flawed. It is perfectly aligned with the interests of banks' shareholders and management, but not with the interests of the general public. This is unsatisfactory from a normative point of view, as significant public resources are used for banking supervision.

Keywords: VaR; banking regulation; supervision; risk measures; Basel Accord (search for similar items in EconPapers)
JEL-codes: G2 K2 (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb373:200155

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