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November 26, 2015

The Search found 5 of 14684 documents sorted by Date with the following criteria:
Subject/Keyword: extreme value theory

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1. Title: Measuring Systemic Risk-Adjusted Liquidity (SRL) : A Model Approach
  Author/Editor: Andreas Jobst
  Series: IMF Working Papers
  Published: August 01, 2012
  Subject(s): Banking sector | Economic models | Risk management
  Author's Keyword(s): Systemic risk | liquidity risk | Net Stable Funding Ratio (NSFR) | extreme value theory | financial contagion | macroprudential regulation
2. Title: Consistent Quantitative Operational Risk Measurement and Regulation: Challenges of Model Specification, Data Collection, and Loss Reporting
  Author/Editor: Jobst, Andreas
  Published: November 01, 2007
  Subject(s): Risk management | Bank regulations | Globalization | Banking systems
  Author's Keyword(s): Risk management | operational risk | financial regulation | bank regulation | Basel Committee | Basel II | New Basel Capital Accord | fat tail behavior | extreme tail behavior | extreme value theory | g-and-h distribution | AMA
3. Title: Operational Risk--The Sting is Still in the Tail but the Poison Depends on the Dose
  Author/Editor: Jobst, Andreas
  Published: October 01, 2007
  Subject(s): Financial risk | Bank regulations | Risk management | Economic models
  Author's Keyword(s): Operational risk | risk management | financial regulation | Basel committe | Basel II | New Basel Capital Accord | extreme value theory | generalized extreme value (GEV) distribution
4. Title: Contagion Risk in the International Banking System and Implications for London as a Global Financial Center
  Author/Editor: Chan-Lau, Jorge A. ; Mitra, Srobona ; Ong, Li L.
  Published: April 01, 2007
  Subject(s): Bank soundness | International banking | Economic models | United Kingdom
  Author's Keyword(s): Bank soundness | co-exceedance | contagion risk | distance-to-default | extreme value theory | LOGIT
5. Title: Extreme Contagion in Equity Markets
  Author/Editor: Chan-Lau, Jorge A. ; Mathieson, Donald J. ; Yao, James Y.
  Published: May 01, 2002
  Subject(s): Financial crisis | Capital markets
  Author's Keyword(s): Contagion | equity markets | extreme value theory

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