In this study we propose a formula-based approach for determining the optimal liquidity horizon used in scaling the base expected shortfall under the Basel Committee’s market risk capital requirements ...

For a static model of n individuals generated by heavy-tailed losses, under the assumption that there exist asymptotic independence and dependence structures between the losses, we derive asymptotic ...

MUMBAI: With the government shifting its focus to debt consolidation over the medium-term from annual fiscal deficit targets, ...