Een kapitale buffer; de wenselijkheid en mogelijkeid van geïntegreerd risicobeheer van financiële producten

Dit boek gaat over de wenselijkheid en mogelijkheid van geïntegreerd risicobeheer van financiële producten. Conclusie van de samenvatting in het engels: Currently, there are few truly integrated financial services offered by financial institutions in the Netherlands. However, various examples can be given of integrated products that would offer distinct advantages to clients. Also for providers and regulators there are not only disadvantages but also advantages to more integrated products. To determine capital buffers required to underwrite integrated financial services, insight into the risk profile of such services needs to be obtained. Stochastic techniques are, as yet, not used to their full ability by the financial community. Also, discussions about the appropriate choice of risk measure(s) are ongoing. In determining a capital buffer for financial risk, the time horizon is of interest. The choice of time horizon is not only linked to the choice of risk measure, but also depends on the type of risk. Capital buffers for diversified and systematic risks arguably require different time horizons. Taking into account all modelable risks and their interdependencies, it is possible to construct an integral type of model that is universally applicable to all risks within the financial services industry. Recommendations of the working party are: · To avoid confusion, it would be desirable if there were commonly used terminology to indicate ‘economically required total capital’. In this report, the wording Total Capital is used, however other authors may have already done other suggestions. · Further research into the properties of different risk measures and their suitability for the assessment of capital buffers is desirable. · Further research into the classification of risks as either systematic or diversified is desirable. Also the impact of such a classification on the choice of time horizon is of interest. · Further research into dependence relations between various types of risks borne by financial institutions is of interest. · It would be interesting to investigate to what extent mergers and acquisition offer advantages through economies of scale, and at which point disadvantages start to outweigh advantages. · It would be interesting to investigate risk management techniques outside the financial services industry, and to gauge the suitability of such techniques within the financial services industry.