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,...

[...]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...

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