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Modelling extreme market events : a report of the benchmarking stochastic models working party

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      <subfield code="a">Modelling extreme market events</subfield>
      <subfield code="b">: a report of the benchmarking stochastic models working party</subfield>
      <subfield code="c">R. Frankland... [et al.]</subfield>
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      <subfield code="a">This paper focusses on some practical issues that can arise when developing methodologies for calculating benchmark figures for extreme market events, particularly in the context of the Financial Services Authority's ICAS regime. The paper limits discussion to equity and interest rate risks. Whilst not intended to constitute formal guidance, it is hoped that the material contained within the paper will be useful to practitioners. The paper acknowledges the role of prior beliefs in the choice of data to be used for modelling and its influence upon the ensuing results</subfield>
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      <subfield code="a">Frankland, R.</subfield>
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      <subfield code="t">British Actuarial Journal</subfield>
      <subfield code="d">Cambridge : Cambridge University Press</subfield>
      <subfield code="g">02/11/2009 Tomo 15 Número 64  - 2009 </subfield>
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