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.
Research partnership
Banque de France