MARRISON, CHRIS; SCHUERMANN, TIL; STROUGHAIR, JOHN D. - In: The Journal of Risk Finance 1 (2000) 4, pp. 47-54
Since 1996, the Bank for International Setdements (BIS) has set the capital level that banks must hold against market risks by a specific formula. This article presents a practical approach for incorporating the effects of asset illiquidity and management response lags in setting regulatory...