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  • Search: subject:"Bayesian Quantile Inference"
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Subject
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Banking Systemic Risk Index 1 Bayesian Quantile Inference 1 Commercial Banks 1 Conditional Expected Shortfall 1 Markov-Switching Conditional Value-at-Risk 1 Stress-testing 1 Value-at-Risk 1
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Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Language
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Undetermined 1
Author
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Liu, Xiaochun 1
Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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MPRA Paper 1
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RePEc 1
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Systemic Risk of Commercial Banks: A Markov-Switching Quantile Autoregression Approach
Liu, Xiaochun - Volkswirtschaftliche Fakultät, … - 2013
This paper extends the Conditional Value-at-Risk approach of Adrian and Brunnermeier (2011) by allowing systemic risk structures subject to economic regime shifts, which are governed by a discrete, latent Markov process. This proposed Markov-Switching Conditional Value-at-Risk is more suitable...
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