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Stress Testing and Systemic Risk Measures Using Elliptical Conditional Multivariate Probabilities
2021
Journal of Risk and Financial Management
Systemic risk, in a complex system with several interrelated variables, such as a financial market, is quantifiable from the multivariate probability distribution describing the reciprocal influence between the system's variables. The effect of stress on the system is reflected by the change in such a multivariate probability distribution, conditioned to some of the variables being at a given stress' amplitude. Therefore, the knowledge of the conditional probability distribution function can
doi:10.3390/jrfm14050213
fatcat:uh2sf356nnfrfakp5f7xcfpy2i