Assessing Risk-Based Capital Requirements: VaR and run-off approaches
Document ID: 2002-787 (previously 2002/001)
Published on: 31st March 2002
Author: Craig Turnbull
The assessment of prudential capital requirements is likely to undergo significant changes in the UK over the next few years. So, what is this likely to mean for the determination of prudential capital requirements? It is likely that the current deterministic resilience test approach will be superseded by a risk-based approach that will employ stochastic modelling. This note highlights one important aspect of how the capital requirement will be assessed within this framework. Specifically, we look at the time horizon over which capital requirements are to be assessed.
