In this paper, the authors consider how risk measures, based on internal models of this type, might be integrated into a firm's own methodology for allocating risk capital to its individual business units and for determining its optimal capital structure. They also consider the implications of...

The Pre-commitment approach (PCA) raises several concerns from a supervisor's perspective: the system of penalties which is envisaged is not efficient, the PCA may add to the financial instability, the supervisors are supposed to be on the side line contrary to their role to promote a sound...

[...]In this paper, we therefore consider how riskmeasures, based on internal models of this type, might beintegrated into a firm’s own methodology for allocatingrisk capital to its individual business units and for determiningits optimal capital structure. We also consider theimplications of...

This paper was presented at the conference "Financial services at the crossroads: capital regulation in the twenty-first century" as part of session 5, "International capital allocation at financial institutions." The conference, held at the Federal Reserve Bank of New York on February 26-27,...

None