Internal vs. External Risk Measures: How Captial Requires Differ in Practice

نویسندگان

  • Martin Eling
  • Luisa Tibiletti
چکیده

We compare capital requirements derived by tail conditional expectation (TCE) with those derived by tail conditional median (TCM) and find that there is no clear-cut relationship between these two measures in empirical data. Our results highlight the relevance of TCM as a robust alternative to TCE, especially for regulatory control. JEL Classification: G10, G11, G23, G29

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Internal vs. external risk measures: How capital requirements differ in practice

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تاریخ انتشار 2009