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

Stefan R. Jaschke

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. -- VaR ; banking regulation ; supervision ; risk measures ; Basel Accord

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Year of publication:	2001
Authors:	Jaschke, Stefan R.
Institutions:	Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse (contributor)
Publisher:	Berlin : Humboldt-Universität
Subject:	Theorie \| Theory \| Bankrisiko \| Bank risk \| Risikomaß \| Risk measure \| Bankenaufsicht \| Banking supervision \| Kritik \| Criticism \| Maßzahl \| Statistical measures