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• W2143669382 abstract "We propose a model able to estimate the risk of assets in balance from aggregate data by introducing a prudential measure called Filtered Historical Spectral Asset Measure (FH - SAM). Our measure combines a model based method to simulate the evolution of volatility with model free method of distribution. It provides a robust methodology to simulate the evolution of risk. The paper extends the debate in the literature about the tools for estimating the risk of assets for a financial institution in case of distress and systemic risk (Stiglitz et al. 2002; Lucas and McDonald 2006)." @default.
• W2143669382 created "2016-06-24" @default.
• W2143669382 creator A5033884689 @default.
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• W2143669382 date "2009-01-01" @default.
• W2143669382 modified "2023-09-29" @default.
• W2143669382 title "Financial Crisis: Estimating the Risk of Assets in Balance" @default.
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• W2143669382 doi "https://doi.org/10.2139/ssrn.1460167" @default.
• W2143669382 hasPublicationYear "2009" @default.
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