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This paper compares four commonly used systemic risk metrics using data on U.S. financial institutions over the period 2005-2014. The four systemic risk measures examined are the (i) marginal expected shortfall, (ii) codependence risk, (iii) delta conditional value at risk, and (iv) lower tail...
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This study analyzes current regulation with respect to the use of derivatives and leverage by mutual funds in the U … that under existing derivative and leverage regulation, funds in both countries are able to increase risk by using …
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