In the current paper, we study the stability and the survival probabilities of enterprises and banks within a prolonged duration of the debt-crisis, with Monte Carlo simulation. We utilize historical data from banks and enterprises within the debt-crisis to define crisis-variability and...

The extremal index (O) is the key parameter for extending extreme value theory results from i.i.d. to stationary sequences. One important property of this parameter is that its inverse determines the degree of clustering in the extremes. This article introduces a novel interpretation of the...