Risk-Factor Portfolios and Financial Stability
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More about this item
KeywordsConditional probability of joint failure; contagion; dependence structure; distress; multivariate extreme value theory; panel VAR; persistence;
- F15 - International Economics - - Trade - - - Economic Integration
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-01-16 (All new papers)
- NEP-BAN-2010-01-16 (Banking)
- NEP-RMG-2010-01-16 (Risk Management)
- NEP-SEA-2010-01-16 (South East Asia)
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