From Value at Risk to Stress Testing: The Extreme Value Approach
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More about this item
KeywordsAggregation of Risks; Capital Requirements; extreme value theory; Financial Crises; Financial Regulation; Measure of Risk; Risk Management; Stress Testing; Value at Risk;
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
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