Allocating Systematic and Unsystematic Risks in a Regulatory Perspective
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Bibliographic InfoPaper provided by Centre de Recherche en Economie et Statistique in its series Working Papers with number 2011-04.
Date of creation: 2011
Date of revision:
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-03-19 (All new papers)
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- Idier, J. & Lamé, G. & Mésonnier, J S., 2011.
"How useful is the Marginal Expected Shortfall for the measurement of systemic exposure? A practical assessment,"
348, Banque de France.
- Idier, Julien & Lamé, Gildas & Mésonnier, Jean-Stéphane, 2013. "How useful is the marginal expected shortfall for the measurement of systemic exposure? A practical assessment," Working Paper Series 1546, European Central Bank.
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