Wang, Shen; Ho, Chong Mun; Dollery, Brian - In: The IUP Journal of Applied Economics IV (2005) 5, pp. 19-30
While extreme asset price movements are a common feature of the global financial system, recent financial crises have witnessed an increase in the use of serious stress testing in risk management. This paper examines the performance of a bivariate normal distribution model and a bivariate...