Systemic risk measured by systems resiliency to initial shocks
This study proposes a new approach to the analysis of #systemicrisk in #financialsystems, which is based on the #probability amount of...
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Rechercher
24 févr. 2022
Evaluation of Backtesting on Risk Models Based on Data Envelopment Analysis
"The methodologies examined include filtered historical simulation, extreme value theory, Monte Carlo simulation and historical...
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