12 Pages Posted: 16 Nov 2007
Date Written: October 1998
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: 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