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Showing 1 to 1 of 1 for “"Capital Allocation Requirements"”.
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Is Value-at-Risk (VaR) a Fair Proxy for Market Risk Under Conditions of Market Leverage?
Ex-post intraday market-risk extrema are compared with ex-ante standard RiskMetrics parametric Value-at-Risk (VaR) limits for three foreign currency futures markets (British Pound, Japanese Yen, Swiss Frank) to determine whether forecasted volatility of market returns based on settlement price data …