Internal vs. external risk measures: How capital requirements differ in practice

: We compare capital requirements derived by tail conditional expectation (TCE) with those derived by tail conditional median (TCM) and find that there is no clear-cut relationship between these two measures in empirical data. Our results highlight the relevance of TCM as a robust alternative to TCE, especially for regulatory control. JEL Classification: G10, G11, G23, G29

• Type: Journal
• Year: 2010
• Where: ORL
• Authors: Martin Eling, Luisa Tibiletti
• Keywords: Clear-cut Relationship, Conditional Median, ORL 2010, Tail Conditional Expectation