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Kudrov, Alexander's
Scholarly Papers
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Total Downloads
112 |
Total
Citations
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1.
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Kudrov, Alexander National Research University Higher School of Economics Zlotnik , Andrew affiliation not provided to SSRN Fantazzini, Dean affiliation not provided to SSRN
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112
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Crisis, Banking, Russia, Debt Structure, Systemic risk, Risk Management, Banking crisis, Forecasting, Default Probability
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Fantazzini, Dean Kudrov, Alexander National Research University Higher School of Economics Zlotnik , Andrew affiliation not provided to SSRN Dukhovnaya, Elena affiliation not provided to SSRN
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Extreme events frequency, Federal Financial Markets Service, Generalized Pareto distribution, Kurtosis, Long–short trading strategy, Maximum annual drawdown, Sharpe ratio, Skewness, Volatility
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Kudrov, Alexander National Research University Higher School of Economics Fantazzini, Dean National Research University Higher School of Economics
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EVT, Extreme Value Theory, VaR, Expected Shortfall, GARCH, Small Sample, Small Sample Properties, Market Risk, Operational Risk
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