Quantile-VaR is the wrong measure to quantify market risk for regulatory purposes
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References listed on IDEAS
- Diebold, Francis X & Gardeazabal, Javier & Yilmaz, Kamil, 1994. " On Cointegration and Exchange Rate Dynamics," Journal of Finance, American Finance Association, vol. 49(2), pages 727-735, June.
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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
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