NSCC believes that the proposed enhancement to its current parametric VaR model would improve NSCC's risk management by enabling the model to remain above its 99% coverage target during market ...
In this paper, we introduce a new risk measure, the so-called conditional tail moment. It is defined as the moment of order a ≥ 0 of the loss distribution above the upper α-quantile where α ∈ (0,1).
Self-Regulatory Organizations; National Securities Clearing Corporation; Notice of Filing of Advance Notice To Enhance NSCC's Existing Parametric Value-at-Risk Margining Model. Pursuant to Section 806 ...
Results that may be inaccessible to you are currently showing.
Hide inaccessible results
Feedback