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