Viewing Risk Measures as Information
Risk Management
2015-03-19 v1 Statistical Finance
Abstract
Regulation and risk management in banks depend on underlying risk measures. In general this is the only purpose that is seen for risk measures. In this paper we suggest that the reporting of risk measures can be used to determine the loss distribution function for a financial entity. We demonstrate that a lack of sufficient information can lead to ambiguous risk situations. We give examples, showing the need for the reporting of multiple risk measures in order to determine a bank's loss distribution. We conclude by suggesting a regulatory requirement of multiple risk measures being reported by banks, giving specific recommendations.
Cite
@article{arxiv.1111.4417,
title = {Viewing Risk Measures as Information},
author = {Dominique Gu/'egan and Wayne Tarrant},
journal= {arXiv preprint arXiv:1111.4417},
year = {2015}
}
Comments
14 pages, 9 figures