Journal Article
Building a coherent risk measurement and capital optimisation model for financial firms
Shepheard-Walwyn, Tim; Litterman, Robert B. (1998-10)
This paper was presented at the conference "Financial services at the crossroads: capital regulation in the twenty-first century" as part of session 5, "International capital allocation at financial institutions." The conference, held at the Federal Reserve Bank of New York on February 26-27, 1998, was designed to encourage a consensus between the public and private sectors on an agenda for capital regulation in the new century.
Economic Policy Review , Volume 4 , Issue Oct , Pages 171-182