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  • Photo du rédacteurHélène Dufour

Risk Aggregation, Tail Risk, Correlation: Capital Allocation Efficiency and Regulator...

"... model uncertainty is a vital component of the current challenges in risk measurement, and therefore the regulator should design risk measures encouraging well-understood prudent decisions over (less understood) risky ones. From this perspective robust regulation should be a desirable goal. To achieve such an objective, simple – but not simpler – rules are needed."


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