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  2. VAR for VaR: Measuring Systemic Risk Using Multivariate Regression Quantiles

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Seminar

VAR for VaR: Measuring Systemic Risk Using Multivariate Regression Quantiles

Simone Manganelli (BCE)

May 15, 2012

 

Reference

Simone Manganelli (BCE), “VAR for VaR: Measuring Systemic Risk Using Multivariate Regression Quantiles”, Séminaire Banque de France, May 15, 2012.

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