Risk Measures At Risk- Are we missing the point? <br>Discussions around sub-additivity and distortion - HAL-SHS - Sciences de l'Homme et de la Société Accéder directement au contenu
Autre Publication Scientifique Année : 2016

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

Dominique Guegan
Bertrand K. Hassani
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Résumé

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.
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Dates et versions

halshs-01318093 , version 1 (19-05-2016)

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  • HAL Id : halshs-01318093 , version 1

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