Affiliation:
1. The Financial Supervisory Authority of Norway (Kredittilsynet), P.O. Box 100 Bryn, NO-0611 Oslo, Norway
Abstract
A stylized market risk model is studied. It turns out that quantifying risk by quantile-VaR, coherent risk measures or other functionals that are positively homogeneous, has a consequence akin to assuming multi-normal returns, namely a two fund separation property. Heuristic arguments indicate that this may be a source of systemic risk to the financial industry.
Publisher
World Scientific Pub Co Pte Lt
Subject
General Economics, Econometrics and Finance,Finance
Cited by
5 articles.
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