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

[...]In this paper, we therefore consider how riskmeasures, based on internal models of this type, might beintegrated into a firm’s own methodology for allocatingrisk capital to its individual business units and for determiningits optimal capital structure. We also consider theimplications of these developments for the future approachto determining regulatory capital requirements.[...]

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Year of publication:	1998-10-01
Authors:	Shepheard-Walwyn, Tim ; Litterman, Robert
Institutions:	UBS AG <Zürich ; Goldman, Sachs & Co. <New York, NY> ; London School of Economics and Political Science
Published in:	London School of Economics and Political Science - Publications FRBNY ECONOMIC POLICY REVIEW / OCTOBER 1998, 171-182
Subject:	Bank \| Kapital \| Kapitalbedarf \| Super-replication \| Risikomessung

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Extent:	188416 bytes 12 p. application/pdf
Type of publication:	Article
Language:	English
Classification:	Financial theory ; Procurement of capital ; Individual Articles ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005870082