Shock on Variable or Shock on Distribution with Application to Stress-Tests
Year of publication: |
2012-02
|
---|---|
Authors: | Dubecq, Simon ; Gouriéroux, Christian |
Institutions: | Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES) |
Subject: | Shock | Copula | Extreme Risk | Stress-Test | Factor Model | Systemic Risk | Portfolio Management | Sovereign Bonds |
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