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Accurate prediction of the frequency of extreme events is of primary importance in many financialapplications such as Value-at-Risk (VaR) analysis. We propose a semi-parametric method for VaRevaluation. The largest risks are modelled parametrically, while smaller risks are captured by the...
Persistent link: https://www.econbiz.de/10010533206
characterization of systemic risk inherent to different financial network structures. The theory also suggests the functional form of …
Persistent link: https://www.econbiz.de/10011372524
Persistent link: https://www.econbiz.de/10003422974