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A Framework for Assessing the Systemic Risk of Major Financial Institutions

Huang, Xin - 2016

In this paper we propose a framework for measuring and stress testing the systemic risk of a group of major financial institutions. The systemic risk is measured by the price of insurance against financial distress, which is based on ex ante measures of default probabilities of individual banks...

Persistent link: https://www.econbiz.de/10013009194

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A framework for assessing the systemic risk of major financial institutions

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A framework for assessing the systemic risk of major financial institutions

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