Corpus ID: 209532096

The Impact of the Choice of Risk and Dispersion Measure on Procyclicality

  title={The Impact of the Choice of Risk and Dispersion Measure on Procyclicality},
  author={Marcel Brautigam and M. Kratz},
  journal={arXiv: Risk Management},
Procyclicality of historical risk measure estimation means that one tends to over-estimate future risk when present realized volatility is high and vice versa under-estimate future risk when the realized volatility is low. Out of it different questions arise, relevant for applications and theory: What are the factors which affect the degree of procyclicality? More specifically, how does the choice of risk measure affect this? How does this behaviour vary with the choice of realized volatility… Expand

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