Methodologies for Determining Capital Standards for Internationally Active Securities Firms

Documents by Author

International Organization of Securities...

Methodologies for Determining Capital St...

International Organization of Securities Commissions (IOSCO)

Methodologies for Determining Capital Standards for Internationally Active Securities Firms

Executive Summary

Role of Capital and Controls

Risks Faced by Securities Firms and the Role of Capital and Controls

Risks and VaR Models

VaR - For Today

VaR Models - The Technical Committee's Position

Additional Capital Requirements in a Models Environment

Buffers for Modelled Risk

Buffers for Non-Modelled Risks

Non-Capital Based Approaches

Appendix - Selected VaR Papers

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