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Stress test, Scenarios, VaR, Interest rate risk, Operational risk, Credit risk
Operational risk, lognormal-gamma distribution, Markov chain Monte Carlo, simulated annealing, quantile distance
Operational Risk, Scenario Analysis, Constrained Estimation, The Markov Chain
Operational risk, loss distribution approach, log-t distribution, maximum likelihood estimation, Cramer-von Mises statistic, Anderson-Darling statistic, quantile distance, simulated annealing
Term structure, Yield curve, No-arbitrage condition, Markov chain Monte Carlo, Simulated annealing, Square-root filter, Forecasting
Operational risk, VaR, Censored data, Truncation, Method of moments, Maximum likelihood
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asset commonality, portfolio diversification, systemic risk, Herfindahl Hirschman Index, dispersion index, cluster analysis
the U.S. banking system, thermodynamic systems, bank groups, herding, systemic risk, multi-objective portfolio optimization
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