Quantile-VaR is the wrong measure to quantify market risk for regulatory purposes
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- Lan-chih Ho & John Cadle & Michael Theobald, 2011. "An analysis of risk-based asset allocation and portfolio insurance strategies," Review of Quantitative Finance and Accounting, Springer, vol. 36(2), pages 247-267, February.
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KeywordsVaR; banking regulation; supervision; risk measures; Basel Accord;
- K2 - Law and Economics - - Regulation and Business Law
- G2 - Financial Economics - - Financial Institutions and Services
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2001-09-10 (All new papers)
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