Solomon Caulker

WorldQuant LLC - WorldQuant University

Place St Charles

201 St Charles Ave #2500

New Orleans, LA 70170

United States

SCHOLARLY PAPERS

1

DOWNLOADS

37

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Ideas:
“  Risk techniques can lead to improved decision making or outcome in any profit entity. Most financial institutions had been grappling with counterparty risk since they do not have the requisite skills to quantify it. The usage of standard deviation and correlation to quantify risk is far from achieving the true risk or variance. This is because the true variance estimation and covariance vector is unknown. What most risk managers have at hand is the historical data from which parameter estimate can be made and they end up making statistical errors. Portfolios are very sensitive to this error.The reason that underpin this statistical errors is related to the fact that most historical data for assets are not normally distributed. the variance and covariance are risk measures that are appropriate for normal distributions. Also, they do not capture large deviations from the mean. In order to do this the risk manager need to use higher moments like skewness or kurtosis.  ”

Scholarly Papers (1)

1.

Banking Regulations - Understanding the Dodd-Frank Act and the Basel Accord

International Journal of Finance 2020
Number of pages: 10 Posted: 09 Feb 2021
Solomon Caulker
WorldQuant LLC - WorldQuant University
Downloads 37 (515,326)

Abstract:

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Negative capital, Basel accord, excesses reserve, Dodd-Frank act, regulations, Liquid assets, credit rating.