IDEAS home Printed from https://ideas.repec.org/p/hal/cesptp/halshs-00639489.html
   My bibliography  Save this paper

Viewing Risk Measures as information

Author

Listed:
  • Dominique Guegan

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

  • Wayne Tarrant

    (Wingate University - UBC - University of British Columbia)

Abstract

Regulation and Risk management in banks depend on underlying risk measures. In general this is the only purpose that is seen for risk measures. In this paper, we suggest that the reporting of risk measures can be used to determine the loss distribution function for a financial entity. We demonstrate that a lack of sufficient information can lead to ambiguous risk situations. We give examples, showing the need for the reporting of multiple risk measures in order to determine a bank's loss distribution. We conclude by suggesting a regulatory requirement of multiple risk measures being reported by banks, giving specific recommendations.

Suggested Citation

  • Dominique Guegan & Wayne Tarrant, 2011. "Viewing Risk Measures as information," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00639489, HAL.
    • Handle: RePEc:hal:cesptp:halshs-00639489
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00639489
    as

    Download full text from publisher

    File URL: https://shs.hal.science/halshs-00639489/document
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Dominique Guegan & Bertrand Hassani, 2009. "A modified Panjer algorithm for operational risk capital calculations," PSE-Ecole d'économie de Paris (Postprint) halshs-00443846, HAL.
    2. René M. Stulz, 1996. "Rethinking Risk Management," Journal of Applied Corporate Finance, Morgan Stanley, vol. 9(3), pages 8-25, September.
    3. Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.), THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78, World Scientific Publishing Co. Pte. Ltd..
    4. Rockafellar, R. Tyrrell & Uryasev, Stanislav, 2002. "Conditional value-at-risk for general loss distributions," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1443-1471, July.
    5. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    6. Yamai, Yasuhiro & Yoshiba, Toshinao, 2002. "Comparative Analyses of Expected Shortfall and Value-at-Risk (3): Their Validity under Market Stress," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 20(3), pages 181-237, October.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Dominique Guégan & Wayne Tarrant, 2012. "On the necessity of five risk measures," Annals of Finance, Springer, vol. 8(4), pages 533-552, November.
    2. Dominique Guegan & Wayne Tarrant, 2012. "Viewing Risk Measures as information," Working Papers halshs-00721350, HAL.
    3. repec:hal:wpaper:halshs-00721339 is not listed on IDEAS
    4. Dominique Guegan & Wayne Tarrant, 2010. "On the necessity of five risk measures," Post-Print halshs-00460901, HAL.
    5. Dominique Guegan & Wayne Tarrant, 2011. "Viewing Risk Measures as information," Post-Print halshs-00639489, HAL.
    6. Dominique Gu/'egan & Wayne Tarrant, 2011. "Viewing Risk Measures as Information," Papers 1111.4417, arXiv.org.
    7. Dominique Gu'egan & Wayne Tarrant, 2011. "On the Necessity of Five Risk Measures," Papers 1111.4414, arXiv.org.
    8. Dominique Guegan & Wayne Tarrant, 2012. "On the Necessity of Five Risk Measures," Post-Print halshs-00721339, HAL.
    9. Dominique Guegan & Wayne Tarrant, 2012. "On the Necessity of Five Risk Measures," PSE-Ecole d'économie de Paris (Postprint) halshs-00721339, HAL.
    10. Wayne Tarrant, 2011. "Historical risk measures on stock market indices and energy markets," Papers 1111.4421, arXiv.org.
    11. Fermanian, Jean-David & Scaillet, Olivier, 2005. "Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 927-958, April.
    12. Claudeci Da Silva & Hugo Agudelo Murillo & Joaquim Miguel Couto, 2014. "Early Warning Systems: Análise De Ummodelo Probit De Contágio De Crise Dos Estados Unidos Para O Brasil(2000-2010)," Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting] 110, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    13. Charilaos Mertzanis, 2013. "Risk Management Challenges after the Financial Crisis," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 42(3), pages 285-320, November.
    14. Al Janabi, Mazin A.M., 2014. "Optimal and investable portfolios: An empirical analysis with scenario optimization algorithms under crisis market prospects," Economic Modelling, Elsevier, vol. 40(C), pages 369-381.
    15. Shao, Barret Pengyuan & Rachev, Svetlozar T. & Mu, Yu, 2015. "Applied mean-ETL optimization in using earnings forecasts," International Journal of Forecasting, Elsevier, vol. 31(2), pages 561-567.
    16. Kocuk, Burak & Cornuéjols, Gérard, 2020. "Incorporating Black-Litterman views in portfolio construction when stock returns are a mixture of normals," Omega, Elsevier, vol. 91(C).
    17. Jules Sadefo-Kamdem, 2011. "Downside Risk And Kappa Index Of Non-Gaussian Portfolio With Lpm," Working Papers hal-00733043, HAL.
    18. Adabi Firouzjaee , Bagher & Mehrara , Mohsen & Mohammadi , Shapour, 2014. "Optimal Portfolio Selection for Tehran Stock Exchange Using Conditional, Partitioned and Worst-case Value at Risk Measures," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 9(1), pages 1-30, October.
    19. Goh, Joel Weiqiang & Lim, Kian Guan & Sim, Melvyn & Zhang, Weina, 2012. "Portfolio value-at-risk optimization for asymmetrically distributed asset returns," European Journal of Operational Research, Elsevier, vol. 221(2), pages 397-406.
    20. Dias, Alexandra, 2016. "The economic value of controlling for large losses in portfolio selection," Journal of Banking & Finance, Elsevier, vol. 72(S), pages 81-91.
    21. Cui, Xueting & Zhu, Shushang & Sun, Xiaoling & Li, Duan, 2013. "Nonlinear portfolio selection using approximate parametric Value-at-Risk," Journal of Banking & Finance, Elsevier, vol. 37(6), pages 2124-2139.

    More about this item

    Keywords

    Risk measure; Value at Risk; bank capital; Basel II accord; Mesures de risque; VaR; capital bancaire; accord de Bâle II;
    All these keywords.

    JEL classification:

    • C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:cesptp:halshs-00639489. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.