Trading book risk metrics: A South African perspective
The regulatory market risk metric – Value at Risk – has remained virtually unchanged since its introduction by JP Morgan in 1996. Many prominent examples of market risk underestimation have undermined the credibility of VaR, prompting the search for better, more robust measures. Expected shortfall a...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
AOSIS
2016-03-01
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| Series: | South African Journal of Economic and Management Sciences |
| Online Access: | https://sajems.org/index.php/sajems/article/view/1316 |