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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 only happen in one direction.
Bubble-value-at-risk.com ~
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acrylic bubble wall,acylic water screens,water curtain,aquarium tanks,fish tanks,acrylic tank- zhejiang union crafts company limited
We are professional acrylic bubble wall,acylic water screens,water curtain,aquarium tanks,fish tanks,acrylic tank factory, manufacturer and supplier in China. The production of acrylic bubble wall,acylic water screens,water curtain,aquarium tanks,fish tanks,acrylic tank are exported to Europe and other countries and regions.
Sino-crafts.com ~
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