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We apply a novel Quantile Monte Carlo (QMC) model to measure extreme risk of various European industrial sectors both prior to and during the Global Financial Crisis (GFC). The QMC model involves an application of Monte Carlo Simulation and Quantile Regression techniques to the Merton structural...
Persistent link: https://www.econbiz.de/10009410481
Persistent link: https://www.econbiz.de/10009410482