✦ LIBER ✦
Internal vs. external risk measures: How capital requirements differ in practice
✍ Scribed by Martin Eling; Luisa Tibiletti
- Publisher
- Elsevier Science
- Year
- 2010
- Tongue
- English
- Weight
- 621 KB
- Volume
- 38
- Category
- Article
- ISSN
- 0167-6377
No coin nor oath required. For personal study only.
✦ Synopsis
We compare capital requirements derived from tail conditional expectation (TCE) with those derived from the tail conditional median (TCM). In theory, TCE is higher than TCM for most distributions commonly used in finance and at fixed confidence levels; however, we find that in empirical data, there is no clearcut relationship between the two. Our results highlight the relevance of TCM as a robust alternative to TCE, especially for regulatory control.