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Is VaR an appropriate gauge of risk?
David Einhorn, founder of Greenlight Capital, was quoted in the New York Times as saying that value-at-risk (VaR) “creates a false sense of security…like an air bag that works all the time except when...
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Risk capital and lessons from the Titanic
It has been nearly a decade since the term “economic capital” (also called risk capital) has been in use, and still, when discussions turn toward explaining what it is to the non-academic, eyes tend to...
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How big is “too big to fail?” – Part 1
Occam’s Razor, the principle of selecting the most obvious or simplest solution among competing hypotheses, has some merit in the “too-big-to-fail” argument. However, the proffered...
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How big is “too big to fail?” – Part 2
Part 2: Bank innovation and regulatory influence Since the most recent global financial crisis, public policy has been moving toward limiting the size of financial institutions, presumably so that...
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