Browsing by Subject "Expected Shortfall"

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    • Measuring and mitigating capital procyclicality in South African banks 

      Visser, Dirk (North-West University (South Africa) , Potchefstroom Campus, 2017)
      The regulatory market risk metric – Value at Risk (VaR) – has remained virtually unchanged since its introduction by JP Morgan in 1996. Many prominent examples of market risk underestimation have undermined the credibility ...