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

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.

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Year of publication:	2001
Authors:	Jaschke, Stefan R.
Publisher:	Berlin : Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Subject:	VaR \| banking regulation \| supervision \| risk measures \| Basel Accord

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Series:	SFB 373 Discussion Paper ; 2001,55
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	725394684 [GVK] hdl:10419/62690 [Handle] RePEc:zbw:sfb373:200155 [RePEc]
Classification:	K2 - Regulation and Business Law ; G2 - Financial Institutions and Services
Source:	EconStor

Persistent link: https://www.econbiz.de/10010310343