Internal vs. external risk measures: How capital requirements differ in practice
نویسندگان
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.
منابع مشابه
Internal vs. External Risk Measures: How Captial Requires Differ in Practice
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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ورودعنوان ژورنال:
- Oper. Res. Lett.
دوره 38 شماره
صفحات -
تاریخ انتشار 2010