The Implications for Securities Regulators of the Increased Use of Value at Risk Models by Securities Firms

Documents by Author

International Organization of Securities...

The Implications for Securities Regulato...

International Organization of Securities Commissions (IOSCO)

The Implications for Securities Regulators of the Increased Use of Value at Risk Models by Securities Firms

A report by the Technical Committee of IOSCO

July 1995

CONTENTS

1. Executive Summary

2. Introduction

3. Value at risk models in securities firms

What are value at risk models?

The relationship between models & management controls

Structure of the firm

Integrity of the model environment

Assessing the effectiveness of models
4. Using value at risk as a basis for setting capital standards
1. Changing the rationale for using models
2. The purpose of regulatory capital
3. Internal models or a regulatory model?
4. The problem of cross entity risk management
5. Regulatory techniques and regulatory resourcing
5. Further action on models

Executive Summary
1. Introduction
2. Value at risk models in securities firms
3. Using value at risk as a basis for setting capital standards
4. Further action on models

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