Risk-neutral systemic risk indicators
Year of publication: |
2013
|
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Authors: | Malz, Allan M. |
Publisher: |
New York, NY : Federal Reserve Bank of New York |
Subject: | systemic risk | option pricing | copula methods | risk-neutral distributions | implied correlation |
Series: | Staff Report ; 607 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 74090678X [GVK] hdl:10419/93596 [Handle] RePEc:fip:fednsr:607 [RePEc] |
Classification: | G01 - Financial Crises ; G13 - Contingent Pricing; Futures Pricing ; G17 - Financial Forecasting ; G18 - Government Policy and Regulation ; G21 - Banks; Other Depository Institutions; Mortgages |
Source: |
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