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Keywords: Tail risk
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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
...Lukasz Prorokowski; Oleg Deev; Hubert Prorokowski Purpose The use of risk proxies in internal models remains a popular modelling solution. However, there is some risk that a proxy may not constitute an adequate representation of the underlying asset in terms of capturing tail risk. Therefore...
