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An International Comparison of Market Risk Measurement Models
Company: Massey University
Company Url: Click here to open
Year Of Publication: 2003
Month Of Publication: May
Pages: 28
Download Count: 855
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Comment Num: 0
Language: EN
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Who Can Read: Free
Date: 2-26-2005
Publisher: Administrator
Summary
This investigation concerns the performance assessment of various market risk measurement models, as applied to different global financial markets under different market conditions and for different parameter settings. The markets include and emerging market, a traditional mature, mainly resource-exporting market, and a well-diversified major market. The main issue addressed is the assessment of the model risk exposures arising from the use of models to assess market risk that are a function of a forward-looking forecast of a portfolio's expected loss.
Author(s)
Dalle Molle, J. W. Sign in to follow this author
Mayo, Phillip Sign in to follow this author
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