2011/11/18 by Dominique Gu 'egan, Gu/'egan, Dominique, Wayne Tarrant +1
Business, Management and Accounting · Economics, Econometrics and Finance · #Credit Risk and Financial Regulations #FOS: Economics and business #Insurance and Financial Risk Management #Risk Management (q-fin.RM) #Risk Management in Financial Firms #Statistical Finance (q-fin.ST)
paper · pdf · doi:10.48550/arxiv.1111.4417
openalex publication_date 2011/11/18 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
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.