Measuring Systemic Risk using Contingent Claims Analysis (CCA)
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Cited by:
- Huang, Wei-Qiang & Wang, Dan, 2020. "Financial network linkages to predict economic output," Finance Research Letters, Elsevier, vol. 33(C).
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More about this item
Keywords
risk monitoring; systemic risk; contingent claims analysis (CCA); global VAR;All these keywords.
JEL classification:
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
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