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:	[2002]
Authors:	Jaschke, Stefan R.
Publisher:	[2002]: [S.l.] : SSRN

Extent:	1 Online-Ressource (10 p)
Type of publication:	Book / Working Paper
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 27, 2001 erstellt
Other identifiers:	10.2139/ssrn.302119 [DOI]
Classification:	K2 - Regulation and Business Law ; G2 - Financial Institutions and Services
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012741430