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.
Institutions:	Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
Subject:	VaR \| banking regulation \| supervision \| risk measures \| Basel Accord

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Extent:	application/pdf
Series:	SFB 373 Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	Number 2001,55
Classification:	K2 - Regulation and Business Law ; G2 - Financial Institutions and Services
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010956506