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文章基本信息

  • 标题:Risk Measures At Risk- Are we missing the point? Discussions around sub-additivity and distortion
  • 作者:Dominique Guegan ; Bertrand K. Hassani
  • 期刊名称:Documents de Travail du Centre d'Economie de la Sorbonne
  • 印刷版ISSN:1955-611X
  • 出版年度:2016
  • 出版社:Centre d'Economie de la Sorbonne
  • 摘要: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.
  • 关键词:Risk measures; Sub-additivity; Level of confidence; Distributions; Financial regulation; Distortion; Spectral measure
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