Goethe University Frankfurt - Department of Finance
in Total Papers Downloads
tail-risk protection, portfolio protection, extreme events, tail distributions, trading strategies
Cryptocurrency, Blockchain, Bitcoin, Volatility, Derivatives, Options, Liquidity, CVX, VIX, COVID-19
Econlinguistics, textual analysis, natural language processing, multinomial inverse regression, MNIR, non-answers
financial jargon, natural language processing, textual analysis, stock returns, implied volatility, information exchange, corporate disclosure, conference calls
Correlation Stress Testing, Scenario Selection, Market Risk, Correlation Risk, 'London Whale'
correlation stress testing, scenario selection, credit risk management, 'London Whale'
Keywords: Correlation stress testing, reverse stress testing, factor selection, scenario selection, Bayesian variable selection, market risk management
systemic risk, network reconstruction, bank network structure, contagion
Systemic Risk, Network Model, Bayesian Network Reconstruction, Contagion Transmission Channels, Bank Regulation, Regulatory Capital
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