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new ways to banks to manage credit risk. In this paper we use a simple microeconomic model to show how a credit option of …
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We propose several connectedness measures built from pieces of variance decompositions, and we argue that they provide natural and insightful measures of connectedness among financial asset returns and volatilities. We also show that variance decompositions define weighted, directed networks, so...
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Credit risk, market risk, backtesting, volatility break. - Kreditrisiko, Marktrisiko, Backtesting, Volatilitätsbruch …
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