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Choosing a proper external risk measure is of great regulatory importance, as exemplified in the Basel II and Basel III Accord which use Value-at-Risk (VaR) with scenario analysis as the risk measures for setting capital requirements. We argue a good external risk measure should be robust with...
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This paper attempts to provide a decision-theoretic foundation for the measurement of economic tail risk, which is not …
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evaluation of the methodological and empirical advances in the measurement of the extreme market risk. This paper argues that a …
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