2010-06-01, English, Article, Journal or magazine article edition: THE VAR AT RISK. Galichon, Alfred

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Physical Description
  • Magazine/​Journal article
Published
  • World Scientific Publishing Co. Pte Ltd., 2010 June
Language
  • English

Edition details

Title
  • THE VAR AT RISK.
Appears In
  • International Journal of Theoretical and Applied Finance, v.13, no.04, 2010 June, p.503 (ISSN: 0219-0249)
Author
  • Galichon, Alfred
Published
  • World Scientific Publishing Co. Pte Ltd., 2010 June
Physical Description
  • Magazine/​Journal article
Subjects
Target Audience
  • Academic
Summary
  • To access, purchase, authenticate, or subscribe to the full-text of this article, please visit this link: http:/​/​dx.doi.org/​10.1142/​S0219024910005875 Byline: ALFRED GALICHON I show that the structure of the firm is not neutral with respect to regulatory capital budgeted under rules which are based on the Value-at-Risk. Indeed, when a holding company has the liberty to divide its risk into as many subsidiaries as needed, and when the subsidiaries are subject to capital requirements according to the Value-at-Risk budgeting rule, then there is an optimal way to divide risk which is such that the total amount of capital to be budgeted by the shareholder is zero. This result may lead to regulatory arbitrage by some firms.
Terms of Use
  • COPYRIGHT 2010 World Scientific Publishing Co. Pte Ltd.
Language
  • English
Database
  • Gale Academic OneFile
Identifier
  • 463142842
  • 10.1142/​S0219024910005875

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