Guegan, Dominique; Tarrant, Wayne - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2011
Regulation and Risk management in banks depend on underlying risk measures. In general this is the only purpose that is … seen for risk measures. In this paper, we suggest that the reporting of risk measures can be used to determine the loss … distribution function for a financial entity. We demonstrate that a lack of sufficient information can lead to ambiguous risk …