Building a Coherent Risk Measurement and Capital Optimisation Model for Financial Firms
The National Academies - National Academy of Sciences (NAS)
Goldman Sachs Group, Inc. - Quantitative Strategy Group
Economic Policy Review, Vol. 4, No. 3, October 1998
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.
Number of Pages in PDF File: 12
Keywords: capital regulation
JEL Classification: G2, G3working papers series
Date posted: November 16, 2007
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