Building a Coherent Risk Measurement and Capital Optimisation Model for Financial Firms
12 Pages Posted: 16 Nov 2007
Date Written: October 1998
Abstract
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 these developments for the future approach to determining regulatory capital requirements.
Keywords: capital regulation
JEL Classification: G2, G3
Suggested Citation: Suggested Citation
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