Incorporating correlation regimes in an integrated stressed risk modeling process

José Aragonés () and Carlos Blanco ()

Journal of Economics and Finance, 2008, vol. 32, issue 2, 148-157

Keywords: Stress test; Value at risk; Modeling process; Expected tail loss; Correlation breakdown; Market regimes; G10; G15 (search for similar items in EconPapers)
Date: 2008
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DOI: 10.1007/s12197-007-9016-0

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