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| Author: | Brooks, C. Clare, A. D. Persand, G. |
| Title: | A world of caution on calculating market-based minimum capital risk requirements |
| Journal: | Journal of Banking and Finance
2000 : OCT, VOL. 24:10, p. 1557-1574 |
| Index terms: | Investment analysis Risk measurement Risk analysis Risk measurement Volatility Econometric models |
| Language: | eng |
| Abstract: | This paper demonstrates that the use of GARCH-type models for the calculation of minimum capital risk requirements may lead to the production of inaccurate and therefore inefficient capital requirements. |
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