TY - JOUR
T1 - The value of Value-at-Risk
T2 - A theoretical approach to the pricing and performance of risk measurement systems
AU - Wiener, Zvi
PY - 2012/5
Y1 - 2012/5
N2 - Risk-based capital adequacy requirements are the main tool employed by government regulators to assure bank stability. This approach allows banks to choose from a number of alternative methods for calculating the required capital. Many systems for measuring risk differ significantly in cost, precision, and in the potential " capital savings" . We develop a statistical model for evaluating risk measurement systems and optimizing the selection process. The model is based on queuing theory. The selection of the optimal system is a function of available capital, the volume and the character of bank activity. While the most precise system may lower a bank's minimal capital reserve requirements, it is not necessarily the optimal system once total costs are evaluated.
AB - Risk-based capital adequacy requirements are the main tool employed by government regulators to assure bank stability. This approach allows banks to choose from a number of alternative methods for calculating the required capital. Many systems for measuring risk differ significantly in cost, precision, and in the potential " capital savings" . We develop a statistical model for evaluating risk measurement systems and optimizing the selection process. The model is based on queuing theory. The selection of the optimal system is a function of available capital, the volume and the character of bank activity. While the most precise system may lower a bank's minimal capital reserve requirements, it is not necessarily the optimal system once total costs are evaluated.
KW - Basel accord
KW - Capital adequacy
KW - Erlang formula
KW - Financial institution regulation
KW - Queuing theory
KW - Risk measurement
KW - Value-at-Risk (VaR)
UR - http://www.scopus.com/inward/record.url?scp=84859893957&partnerID=8YFLogxK
U2 - 10.1016/j.jeconbus.2012.02.002
DO - 10.1016/j.jeconbus.2012.02.002
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AN - SCOPUS:84859893957
SN - 0148-6195
VL - 64
SP - 199
EP - 213
JO - Journal of Economics and Business
JF - Journal of Economics and Business
IS - 3
ER -
