---
title: Same Portfolio, Different Capital: Non-Standard Errors in Regulatory Market Risk Capital
url: https://www.ml-quant.com/papers/ssrn/7686542/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-11-14
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 7686542
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=7686542
featured: 2026-11-13
citations: unknown
topic: Risk, Credit & Banking
---


# 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.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=7686542
- Identifier: SSRN 7686542
- Released: 2026-11-12
- First featured: Quant Letter No. 139 (2026-11-13): https://www.ml-quant.com/issues/2026-11-13/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Risk, Credit & Banking
- Authors: Gregor N. F. Weiss

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