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Building a Coherent Risk Measurement and Capital Optimisation Model for Financial Firms


Tim Shepheard-Walwyn


The National Academies - National Academy of Sciences (NAS)

Robert Litterman


Goldman Sachs Group, Inc. - Quantitative Strategy Group

October 1998

Economic Policy Review, Vol. 4, No. 3, 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.

Number of Pages in PDF File: 12

Keywords: capital regulation

JEL Classification: G2, G3

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Date posted: November 16, 2007  

Suggested Citation

Shepheard-Walwyn, Tim and Litterman, Robert, Building a Coherent Risk Measurement and Capital Optimisation Model for Financial Firms (October 1998). Economic Policy Review, Vol. 4, No. 3, October 1998. Available at SSRN: http://ssrn.com/abstract=1029756 or http://dx.doi.org/10.2139/ssrn.1029756

Contact Information

Tim Shepheard-Walwyn (Contact Author)
The National Academies - National Academy of Sciences (NAS) ( email )
Washington, DE 20001
United States
Robert Litterman
Goldman Sachs Group, Inc. - Quantitative Strategy Group ( email )
32 Old Slip, 24th Floor
New York, NY 10005
United States
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