Half as Many Cheers - the Multiplier Reviewed

4 Pages Posted: 2 Jun 2003

See all articles by Paolo Vanini

Paolo Vanini

University of Basel

Markus Leippold

University of Zurich; Swiss Finance Institute

Abstract

The financial industry puts the Basle Committee under strain to align regulatory capital with economic capital. This could be reached by allowing more flexibility in the choice of risk measure for regulatory reporting. The authors show that if banks could use the theoretically more sound risk measure of Expected Shortfall, the three cheers of Stahl (1997) would be reduced to exactly half as many cheers. This would substantially decrease the regulatory capital in most cases.

Suggested Citation

Vanini, Paolo and Leippold, Markus, Half as Many Cheers - the Multiplier Reviewed. Available at SSRN: https://ssrn.com/abstract=401881 or http://dx.doi.org/10.2139/ssrn.401881

Paolo Vanini

University of Basel ( email )

Petersplatz 1
Basel, CH-4003
Switzerland

Markus Leippold (Contact Author)

University of Zurich ( email )

Rämistrasse 71
Zürich, CH-8006
Switzerland

Swiss Finance Institute ( email )

c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland

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