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Keywords: Liquidity-adjusted value at risk
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Journal Articles
Journal:
Studies in Economics and Finance
Studies in Economics and Finance (2023) 40 (1): 112–137.
Published: 08 March 2022
..., subject to applying various operational and financial optimization restrictions under crisis outlooks. Design/methodology/approach The author implements a robust methodology to assess regulatory economic-capital allocation in a liquidity-adjusted value at risk (LVaR) context, mostly from...
