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Integrating stress scenarios into risk quantification models

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Credit rating migration risk and interconnectedness in a corporate lending network

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Stress testing bank insolvency risk by systemic equity market shock : an expected shortfall approach

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Stress testing the resilience of financial networks

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Stress testing tool in banking risk management : an evidence from Serbia

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Systemic risk, in a complex system with several interrelated variables, such as a financial market, is quantifiable from the multivariate probability distribution describing the reciprocal influence between the system's variables. The effect of stress on the system is reflected by the change in...

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