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- W4287815313 abstract "The multivariate conditional probability distribution models the effects of a set of variables onto the statistical properties of another set of variables. In the study of systemic risk in a financial system, the multivariate conditional probability distribution can be used for stress-testing by quantifying the propagation of losses from a set of `stressing' variables to another set of `stressed' variables. In this paper I describe how to compute such conditional probability distributions for the vast family of multivariate elliptical distributions, and in particular for the multivariate Student-t and the multivariate Normal distributions. Measures of stress impact and systemic risk are proposed. An application to the US equity market illustrates the potentials of this approach." @default.
- W4287815313 created "2022-07-26" @default.
- W4287815313 creator A5050674002 @default.
- W4287815313 date "2020-04-14" @default.
- W4287815313 modified "2023-10-17" @default.
- W4287815313 title "Stress testing and systemic risk measures using multivariate conditional probability" @default.
- W4287815313 doi "https://doi.org/10.48550/arxiv.2004.06420" @default.
- W4287815313 hasPublicationYear "2020" @default.
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