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Keywords: Financial collateral haircuts
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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
..., using empirical examples for the financial collateral haircut model, this paper aims to critically review available statistical tools for measuring the adequacy of capturing tail risk by proxies used in the internal risk models of banks. In doing so, this paper advises on the most appropriate solutions...
