Half as Many Cheers - the Multiplier Reviewed
4 Pages Posted: 2 Jun 2003
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: 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
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