Financial Stability

Yakov Ben-Haim
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Yakov Ben-Haim: The Technion

Chapter Chapter 4 in Info-Gap Economics, 2010, pp 87-133 from Palgrave Macmillan

Abstract: Abstract We consider the analysis of decisions in four different aspects of financial stability. In section 4.1 we look at a simple example of structured securities as collateralized debt obligations. We explore the robustness to uncertain correlation between the underlying assets. In section 4.2 we study the robustness of the value at risk of a portfolio, when the probability distribution has uncertain fat tails. Stress testing is discussed conceptually in section 4.3 based on a suite of models. In section 4.4 we study the strategic allocation of assets using both the robustness and the opportuneness functions for exploring the risks and windfalls of uncertain payoffs.

Keywords: Safety Factor; Risky Asset; Financial Stability; Default Probability; Reserve Requirement (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-0-230-27732-8_4

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DOI: 10.1057/9780230277328_4

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