Financial stability - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T01:38:18+00:00Challenges in Implementing Worst-Case Analysis
https://www.bankofcanada.ca/2018/09/staff-working-paper-2018-47/
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. We derive the bias for the non-parametric heavy-tailed order statistics and contrast it with the semi-parametric extreme value theory (EVT) approach.2018-09-14T08:50:24+00:00enChallenges in Implementing Worst-Case Analysis2018-09-14Financial stabilityStaff Working Paper 2018-47https://www.bankofcanada.ca/wp-content/uploads/2018/09/swp2018-47.pdfChallenges in Implementing Worst-Case AnalysisJon DanielssonLerby ErgunCasper G. de VriesSeptember 2018CC0C01C1C14C5C58