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VaR-x: Fat Tails in Financial Risk Management

Listed author(s):
  • Huisman, R.
  • Koedijik, K.G.
  • Pownall, R.A.J.

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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Paper provided by Southern California - School of Business Administration in its series Papers with number 98-54.

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Length: 25 pages
Date of creation: 1998
Handle: RePEc:fth:socabu:98-54
Contact details of provider: Postal:
University of Southern California, School of BusinessAdministration, Los Angeles, CA 90089-1421.

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