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Market risk model selection and medium-term risk with limited data : application to ocean tanker freight markets

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Extreme downside risk spillover from the United States and Japan to Asia-Pacific stock markets

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Calculating trading book capital : is risk separation appropriate?

Raupach, Peter - 2015

Regulatory capital for trading book positions includes two components that cover different risks but apply to the same portfolio, one for market risk and one for credit risk. Similar approaches are common in banks’ internal models for economic capital. Although it is known that joint market...

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