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Keywords: Violation penalties
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Journal Articles
Capital requirements for market risks: Value‐at‐risk models and stressed‐VaR after the financial crisis
Available to Purchase
Journal of Financial Regulation and Compliance (2013) 21 (3): 284–304.
Published: 19 July 2013
..., he calculates the effect of stressed‐VaR after a year and a half of adoption. Alberto Burchi can be contacted at: burchi@unipg.it © Emerald Group Publishing Limited 2013 Regulation Value‐at‐risk (VaR) Violation penalties Model optimization Capital requirement Trading book Market...
