Asset Price Dynamics with Value-at-Risk Constrained Traders
Risk management systems in current use treat the statistical relations governing asset returns as being exogenous, and attempt to estimate risk only...
An Academic Response to Basel II
It is our view that the Basel Committee for Banking Supervision, in its Basel II proposals, has failed to address many of the key deficiencies of the...
The Emperor has no Clothes: Limits to Risk Modelling
This paper considers the properties of risk measures, primarily Value–at–Risk (VaR), from both internal and external (regulatory) points of view. It...
Real Trading Patterns and Prices in Spot Foreign Exchange Markets
Most of the existing empirical literature on FX market microstructure uses indicative quote data derived from Reuters EFX screens. This paper examines...
Beyond the Sample: Extreme Quantile and Probability Estimation
Economic problems such as large claims analysis in insurance and value-at-risk in fi- nance, require assessment of the probability P of extreme...
The Cost of Conservatism: Extreme Returns, Value-at Risk, and the Basle Multiplication Factor
We argue that most current methodologies for value-at-risk (VaR) underestimate the VaR, and are therefore ill-suited for market risk capital. Better...
Value-At-Risk and Extreme Returns
Accurate prediction of extreme events are of primary importance in many financial applications. The properties of historical simulation and...
Extreme Returns, Tail Estimation and Value-at-Risk
Accurate prediction of extreme events are of primary importance in many financial ap-plications. The properties of historical simulation and...