Abstract
Banks must be able to measure risk and allocate sufficient capital to meet it. The world of finance is changing so quickly and becoming so complex that most practitioners - including professionals - take a cautious view of investment strategies relying on sophisticated instruments. Furthermore, as a result of deregulation and desegmentation, banks are becoming increasingly involved in the capital markets. So when Crédit Commercial de France (CCF) introduced Profil, an internal model for measuring market risk, it was marking the culmination of a long process of research and development. Coinciding with the recent launch of Profil, Issue no. 28 of Quants examines the main regulatory provisions on risk control and focuses on a promising area of research.
Volume
28
Year
1997
Categories
RPP1
Publications
Quants
