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Challenges in implementing worst-case analysis / by Jon Danielsson, Lerby M. Ergun and Casper G. de Vries.: FB3-5/2018-47E-PDF

"Worst-case analysis is used among financial regulators in the wake of the recent financial crisis to gauge the tail risk. We provide insight into worst-case analysis and provide guidance on how to estimate it"--Abstract, p. ii.

Permanent link to this Catalogue record:
publications.gc.ca/pub?id=9.862218&sl=0

Publication information
Department/Agency
  • Bank of Canada.
TitleChallenges in implementing worst-case analysis / by Jon Danielsson, Lerby M. Ergun and Casper G. de Vries.
Series title
  • Bank of Canada staff working paper, 1701-9397 ; 2018-47
Publication typeMonograph - View Master Record
Language[English]
FormatDigital text
Electronic document
Note(s)
  • "September 2018."
  • Includes bibliographical references (p. 18-19).
  • Includes abstract in French.
Publishing information
  • [Ottawa] : Bank of Canada, 2018.
Author / Contributor
  • Danielsson, Jon.
  • Ergun, Lerby M.
  • De Vries, Casper G.
Description26 p. : charts (some col.)
Catalogue number
  • FB3-5/2018-47E-PDF
Subject terms
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