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This paper examines why a financial entity's solvency capital estimation might be underestimated if the total amount required is obtained directly from a risk measurement. Using Monte Carlo simulation we show that, in some instances, a common risk measure such as Value-at-Risk is not subadditive...
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and of income losses following a crisis. She tests the validity of "insurance" and "liquidity" models of currency crisis …
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and of income losses following a crisis. She tests the validity of "insurance" and "liquidity" models of currency crisis …
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