Report
Options positions: risk management and capital requirements
Hendricks, Darryll; Shin, Soo; Walter, Stefan; Estrella, Arturo; Kambhu, John (1994)
Research Paper , Paper 9415

Journal Article
The price risk of options positions: measurement and capital requirements
Walter, Stefan; Shin, Soo; Hendricks, Darryll; Kambhu, John; Estrella, Arturo (1994-07)
This article evaluates supervisory approaches to the measurement and capital treatment of the price risk of options positions. The authors find that approximate value-at-risk rules tend to provide better estimates of potential losses than simple strategy-based rules. The value-at-risk rules are particularly effective when they adjust for nonlinear changes in options prices. The authors also consider the reporting burdens posed by the different approaches and the consistency of the rules with existing and proposed supervisory frameworks.
Quarterly Review , Volume 19 , Issue Sum , Pages 44-75

Journal Article
Using credit risk models for regulatory capital: issues and options
Saidenberg, Marc R.; Levonian, Mark E.; Hirtle, Beverly; Walter, Stefan; Wright, David M. (2001-03)
The authors describe the issues and options that would be associated with the development of regulatory minimum capital standards for credit risk based on banks' internal risk measurement models. Their goal is to provide a sense of the features that an internal-models (IM) approach to regulatory capital would likely incorporate, and to stimulate discussion among financial institutions, supervisors, and other interested parties about the many practical and conceptual issues involved in structuring a workable IM regulatory capital regime for credit risk. The authors focus on three main areas: ...
Economic Policy Review , Issue Mar , Pages 19-36