Download This PaperQuantile-Var is the Wrong Measure to Quantify Market Risk for Regulatory Purposes
10 Pages Posted: 4 Mar 2002
Date Written: July 27, 2001
Abstract
Starting from the objective of banking supervision - to minimize the overall costs of banking to the general public - we show that the current standard of quantifying market risk is flawed. It is perfectly aligned with the interests of banks' shareholders and management, but not with the interests of the general public. This is unsatisfactory from a normative point of view, as significant public resources are used for banking supervision.
Keywords: Risk measures, Basel Accord, Value at Risk
JEL Classification: K2, G2
Suggested Citation: Suggested Citation
Jaschke, Stefan R., Quantile-Var is the Wrong Measure to Quantify Market Risk for Regulatory Purposes (July 27, 2001). Available at SSRN: https://ssrn.com/abstract=302119 or http://dx.doi.org/10.2139/ssrn.302119
Do you have negative results from your research you’d like to share?
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.