Internal vs. external risk measures: How
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Martin Eling; Luisa Tibiletti
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Article
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2010
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Elsevier Science
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English
β 621 KB
We compare capital requirements derived from tail conditional expectation (TCE) with those derived from the tail conditional median (TCM). In theory, TCE is higher than TCM for most distributions commonly used in finance and at fixed confidence levels; however, we find that in empirical data, there