This article investigates the effect of modeling extreme events on the calculation of minimum capital risk requirements for three LIFFE futures contracts. The use of internal models will be permitted under the European Community Capital Adequacy Directive II and will be widely adopted in the...

Purpose – Investors are now able to analyse more noise-free news to inform their trading decisions than ever before. Their expectation that more information means better performance is not supported by previous psychological experiments which argue that too much information actually impairs...