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BUVAR - a VaR approach for countercyclical capital buffer

We propose a countercyclical risk measure, BuVaR, the estimated shortfall of a financial institution removed of the effects of procyclicality. It involves inflating one side of the return distribution of an asset by a scaling factor called bubble that depends on the location of the present state in the boom-bust cycle. BuVaR is countercyclical (it leads crashes), distinguishes between long and short positions (is asymmetrical) and provides an additional buffer for fat-tails by recognizing that crashes can o

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BUVAR - a VaR approach for countercyclical capital buffer | bubble-value-at-risk.com Reviews
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We propose a countercyclical risk measure, BuVaR, the estimated shortfall of a financial institution removed of the effects of procyclicality. It involves inflating one side of the return distribution of an asset by a scaling factor called bubble that depends on the location of the present state in the boom-bust cycle. BuVaR is countercyclical (it leads crashes), distinguishes between long and short positions (is asymmetrical) and provides an additional buffer for fat-tails by recognizing that crashes can o
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KEYWORDS
1 VAR
2 countercyclical capital
3 buffer
4 BIS
5 buVaR
6 Max Wong
7 bubble value at risk
8 Basel III
9 risk measurement
10 procyclicality
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BUVAR - a VaR approach for countercyclical capital buffer | bubble-value-at-risk.com Reviews

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We propose a countercyclical risk measure, BuVaR, the estimated shortfall of a financial institution removed of the effects of procyclicality. It involves inflating one side of the return distribution of an asset by a scaling factor called bubble that depends on the location of the present state in the boom-bust cycle. BuVaR is countercyclical (it leads crashes), distinguishes between long and short positions (is asymmetrical) and provides an additional buffer for fat-tails by recognizing that crashes can o

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Wednesday, 12 March 2014. Pluralism since the '1992 Plea' in the AER. In May 1992, a ‘Plea for a Pluralistic and Rigorous Economics’ was published in the American Economic Review (Vol 82 No. 2). It was signed by Harcourt, Galbraith, Goodwin, Kindelberger, Minsky, Pasinetti and other eminent economists. The Plea was funded by. Who launched a second ‘. 8217; in 2009 and support the 2012 ‘. Manifesto for Economic Sense. NL: By that you mean things like regression analysis and theoretical model building?

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BUVAR - a VaR approach for countercyclical capital buffer

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