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Do some Value-at-Risk Models Provoke Financial Market Destabilization? - An Agent-Based Financial Market Perspective
Oliver Hermsen
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Oznake: business;stock market
The aim of this paper is to explore the impact of different Value-at-Risk (VaR) models on the stability of financial markets. Based on a numerical analysis, we test how simple and more sophisticated Value-at-Risk models affect financial market stability. This is important to implement effective regu ...
Leto: 2009 Vir: videolectures.net
Št. zadetkov: 1
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