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Market Risk [5]

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Bullet points include: If V(X) is the value of a given set of contingencies X then we generally need: Do all interpretations of ‘value’ have these properties? Are market values the right things to be focusing on in the first place? Some deep questions! E.g. Kemp (2009) argues for the merits of ‘fully market consistent’ risk measurement, if practical (and hence focus on market-implied probability distributions rather than traditional time series based approaches), to tie in better with amount of capital needed to enter into a (market) hedge

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