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Challenges in implementing worst-case analysis

Worst-case analysis is used among financial regulators in the wake of the recent financial crisis to gauge the tail risk. We provide insight into worst-case analysis and provide guidance on how to estimate it. We derive the bias for the non-parametric heavy-tailed order statistics and contrast it wi...

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Bibliographic Details
Authors and Corporations: Daníelsson, Jón (Author), Ergun, Lerby M. (Author), Vries, Casper G. de (Author)
Other Authors: Ergun, Lerby M. (VerfasserIn) , Vries, Casper G. de (VerfasserIn) 1955-
Type of Resource: E-Book
Language: English
[Ottawa] Bank of Canada [2018]
Series: Bank of Canada: Staff working paper ; 2018, 47 (September 2018)
Source: Verbunddaten SWB
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Notes: Zusammenfassung in französischer Sprache