Quantile-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

Jaschke, Stefan R., Quantile-Var is the Wrong Measure to Quantify Market Risk for Regulatory Purposes (July 27, 2001). EFA 2002 Berlin Meetings Discussion Paper. Available at SSRN: https://ssrn.com/abstract=302119 or http://dx.doi.org/10.2139/ssrn.302119

Stefan R. Jaschke (Contact Author)

infinada

Landshuter Allee 8-10
Munich, 80637
Germany

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