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

12 Pages Posted: 16 Nov 2007  

Tim Shepheard-Walwyn

The National Academies - National Academy of Sciences (NAS)

Robert Litterman

Kepos Capital

Date Written: 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.

Keywords: capital regulation

JEL Classification: G2, G3

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: https://ssrn.com/abstract=1029756 or http://dx.doi.org/10.2139/ssrn.1029756

Tim Shepheard-Walwyn (Contact Author)

The National Academies - National Academy of Sciences (NAS) ( email )

Washington, DE 20001
United States

Robert Litterman

Kepos Capital

620 Eighth Avenue
New York, NY 10018
United States

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