A word of caution on calculating market-based minimum capital risk requirements
نویسندگان
چکیده
منابع مشابه
A word of caution on calculating market-based minimum capital risk requirements
This paper demonstrates that the use of GARCH-type models for the calculation of minimum capital risk requirements (MCRRs) may lead to the production of inaccurate and therefore inecient capital requirements. We show that this inaccuracy stems from the fact that GARCH models typically overstate the degree of persistence in return volatility. A simple modi®cation to the model is found to improv...
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ژورنال
عنوان ژورنال: Journal of Banking & Finance
سال: 2000
ISSN: 0378-4266
DOI: 10.1016/s0378-4266(99)00092-8