
Regulatory arbitrage: back to basics
Risk analysis

Since the market risk amendment to the Basel capital Accord was introduced in the mid-1990s, there has been recurring discussion about the multiplier applied to internal value-at-risk estimates in arriving at the associated minimum regulatory capital requirement. As far as I can tell, this is best characterised as a 'regulatory comfort factor'. Apparently, a multiplier of between three and four represented a consensus among national banking supervisors as a level of capital that
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
More on Market risk
Risk management
Union beckons for the three quant tribes
Studies may be deferred, but future for grads is bright, argues UBS’s Gordon Lee
Receive this by email