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Keywords: Discriminatory power
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Journal Articles
Testing risk proxies for financial collateral haircuts: adequacy of capturing tail risk
Available to Purchase
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2020) 21 (3): 299–316.
Published: 06 July 2020
... the adequacy of capturing tail risk by the assigned proxy and the Harrell’s C test to capture the discriminatory power of the proxy-based collateral haircuts models. This paper also suggests a tool that compares the reactions of risk proxies to tail events to verify possible underestimation of risk in times...
