Building a coherent risk measurement and capital optimisation model for financial firms

Abstract

This paper was presented at the conference "Financial services at the crossroads: capital regulation in the twenty-first century" as part of session 5, "International capital allocation at financial institutions." The conference, held at the Federal Reserve Bank of New York on February 26-27, 1998, was designed to encourage a consensus between the public and private sectors on an agenda for capital regulation in the new century.Risk ; Econometric models ; Bank capital ; Financial institutions