Economic capital / Other risks [19]

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Bullet points include: MVaRs / MTVaRs additive and sum to total VaR / TVaR But IVaRs /ITVaRs do not sum to total portfolio quantities MVaRs and TVaRs calculable if payoffs Gaussian But is this a reasonable assumption? RAROC based on MVaRs also complicated by need to aggregate very different risks across business units Is it really sensible to attempt this given the sensitivity of the results on hard to measure parameters C.f. ‘Use test’ for internal models

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