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Systemic Contingent Claims Analysis

Systemic Contingent Claims Analysis »

Source: Systemic Contingent Claims Analysis : Estimating Market-Implied Systemic Risk

Volume/Issue: 2013/54

Series: IMF Working Papers

Author(s): Andreas A. Jobst , and Dale Gray

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 27 February 2013

ISBN: 9781475572780

Keywords: macroprudential policy and surveillance, contingent claims analysis (CCA), systemic CCA, conditional tail expectation (CTE), extreme value theory (EVT), risk-adjusted balance sheets, stress testing, capital adequacy, Model Construction and Estimation, Government Policy and Regulation

The recent global financial crisis has forced a re-examination of risk transmission in the financial sector and how it affects financial stability. Current macroprudential policy and surveillance (MPS) efforts are...

Systemic Contingent Claims Analysis
			: Estimating Market-Implied Systemic Risk

Systemic Contingent Claims Analysis : Estimating Market-Implied Systemic Risk »

Volume/Issue: 2013/54

Series: IMF Working Papers

Author(s): Andreas A. Jobst , and Dale Gray

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 27 February 2013

DOI: http://dx.doi.org/10.5089/9781475572780.001

ISBN: 9781475572780

Keywords: macroprudential policy and surveillance, contingent claims analysis (CCA), systemic CCA, conditional tail expectation (CTE), extreme value theory (EVT), risk-adjusted balance sheets, stress testing, capital adequacy, Model Construction and Estimation, Government Policy and Regulation

The recent global financial crisis has forced a re-examination of risk transmission in the financial sector and how it affects financial stability. Current macroprudential policy and surveillance (MPS) efforts are...