Myasnitskaya street, 20
Moscow, Moscow 119017
National Research University Higher School of Economics
Crisis, Banking, Russia, Debt Structure, Systemic risk, Risk Management, Banking crisis, Forecasting, Default Probability
Extreme events frequency, Federal Financial Markets Service, Generalized Pareto distribution, Kurtosis, Long–short trading strategy, Maximum annual drawdown, Sharpe ratio, Skewness, Volatility
EVT, Extreme Value Theory, VaR, Expected Shortfall, GARCH, Small Sample, Small Sample Properties, Market Risk, Operational Risk
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