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Keywords: Stressed VaR
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Journal Articles
Compliance with Basel 2.5: banks’ approaches to implementing stressed VaR
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Journal of Financial Regulation and Compliance (2014) 22 (4): 339–348.
Published: 04 November 2014
.... 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 The regulatory requirement of implementing SVaR for calculating the capital charge for market risk in trading books...
