Same Portfolio, Different Capital: Non-Standard Errors in Regulatory Market Risk Capital
The paper quantifies that reasonable modeling choices for Value-at-Risk and Expected Shortfall create capital gaps of a third between identical portfolios at different banks.
Featured in No. 139 on 13 Nov 2026 · 1 day after release
- Released
- 12 Nov 2026
- First featured
- No. 139 · 13 Nov 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 3 of 5
- Identifier
- SSRN 7686542
- Authors
- Gregor N. F. Weiss
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).