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Keywords: Market risk capital charge
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Journal Articles
Journal of Financial Regulation and Compliance (2014) 22 (4): 339–348.
Published: 04 November 2014
... maturities. The number of Monte Carlo simulations ranges from 1,000 to 10,000 across the clients of Firm 1. Lukasz Prorokowski can be contacted at: lukas.prorokowski@gmail.com © Emerald Group Publishing Limited 2014 Banks Basel 2.5 Market risk capital charge Stressed VaR...
