The value of Value-at-Risk: A theoretical approach to the pricing and performance of risk measurement systems
نویسنده
چکیده
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. © 2012 Elsevier Inc. All rights reserved.
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