Half as Many Cheers - The Multiplier Reviewed
Zurich Cantonal Bank; University of Basel
University of Zurich - Department of Banking and Finance; Swiss Finance Institute; University of Zurich - Faculty of Economics, Business Administration and Information Technology
The financial industry puts the Basle Committee under strain to align regulatory capital with economic capital. This could be reached by allowing more flexibility in the choice of risk measure for regulatory reporting. The authors show that if banks could use the theoretically more sound risk measure of Expected Shortfall, the three cheers of Stahl (1997) would be reduced to exactly half as many cheers. This would substantially decrease the regulatory capital in most cases.
Number of Pages in PDF File: 4working papers series
Date posted: June 2, 2003
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