Danish paper uses three centuries of data to show tail risks underestimated
A working paper published yesterday by the National Bank of Denmark warns that financial institutions and regulators risk underestimating the probability of extreme events if they fail to take account of a long enough time period.
To drive the point home, in Large sigma events in the European FX markets, author Kim Abildgren builds a dataset of quarterly exchange rates for 10 European currency pairs running from 1740–2012. Abildgren warns that short time horizons used in some studies risk
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