TL;DR
This paper discusses the advantages of using absolute return volatility in financial modeling, particularly for market risk measurement and capital requirement estimation.
Contribution
It introduces the application of absolute return volatility for improved market risk and capital requirement modeling.
Findings
Absolute return volatility offers modeling benefits.
Illustration provided for market risk measure.
Implications for minimum capital requirements.
Abstract
The use of absolute return volatility has many modelling benefits says John Cotter. An illustration is given for the market risk measure, minimum capital requirements.
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