Systematic risk under extremely adverse market condition
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More about this item
KeywordsTail regression beta; downside risk; Extreme Value Theory; tail dependence; risk management;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-03-19 (All new papers)
- NEP-BAN-2011-03-19 (Banking)
- NEP-RMG-2011-03-19 (Risk Management)
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