Risk Measures At Risk- Are we missing the point?
Discussions around sub-additivity and distortion

Abstract : This paper discusses the regulatory requirements (Basel Committee, ECB-SSM andEBA) to measure the major risks of financial institutions, for instance Market, Credit and Operational, regarding the choice of the risk measures, the choice of the distributions used to model them and the level of confidence. We highlight and illustrate paradoxes and issues observed when implementing one approach over another, the inconsistencies between the methodologies suggested and the goals required to achieve them. We focus on the notion of sub-additivity and alternative risk measures, providing the supervisor with some recommendations and risk managers with some tools to assess and manage the risks in a financial institution.
Liste complète des métadonnées

Littérature citée [23 références]  Voir  Masquer  Télécharger

https://halshs.archives-ouvertes.fr/halshs-01318093
Contributeur : Lucie Label <>
Soumis le : jeudi 19 mai 2016 - 11:30:16
Dernière modification le : jeudi 4 octobre 2018 - 18:28:02

Fichier

16039.pdf
Fichiers produits par l'(les) auteur(s)

Identifiants

  • HAL Id : halshs-01318093, version 1

Collections

Citation

Dominique Guegan, Bertrand K. Hassani. Risk Measures At Risk- Are we missing the point?
Discussions around sub-additivity and distortion. 2016. ⟨halshs-01318093⟩

Partager

Métriques

Consultations de la notice

246

Téléchargements de fichiers

469