To ensure a competent regulatory framework with respect to Value-at-Risk for Establishing Bank's capital adequacy requirements, as promoted by the Basle Committee, then the parametrical approach to estimate VaR needs to incorporte fat tails, apparent in the return distributions of financial assets. This paper provides a simple method to obtain accurate parametric VaR-x mesures, by including a specific measure for the tail fatness of an asset's return distribution.
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Publisher Info
Paper provided by Southern California - School of Business Administration in its series Papers with number
98-54.
Find related papers by JEL classification: D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data) G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
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Campbell-Pownall, R.A.J. & Huisman, R., 2002.
"Measuring Credit Spread Risk,"
Research Paper
ERS-2002-95-F&A Revision_, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni.
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