风险资本与VaR资本分配方法修正

Risk Capital and the Modification to VaR Capital Allocation Method

本文认为 Va R资本分配方法由于没有考虑对债权人的利息补偿 ,可能严重低估风险 (权益 )资本的要求。我们引入 Merton模型 ,对 Va

This paper shows that VaR capital allocation method may underestimate the risk (equity) capital requirements because it doesn't take any consideration to repay some interest to debt holders. We introduce the Merton's model to modify the VaR capital allocation method.