This Thesis focuses on the Marginal Expected Shortfall (MES) and its application in Finance as early-warning reference. I will specify a logit model that allows to link MES to the conditional probability of financial crisis. The analysis includes a multinomial bayesian density estimation approach, and considers different crisis indicators as dependent variables.
Approaching Systemic Risk with Entropy
Pasqualini, Andrea
2014/2015
Abstract
This Thesis focuses on the Marginal Expected Shortfall (MES) and its application in Finance as early-warning reference. I will specify a logit model that allows to link MES to the conditional probability of financial crisis. The analysis includes a multinomial bayesian density estimation approach, and considers different crisis indicators as dependent variables.File in questo prodotto:
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Utilizza questo identificativo per citare o creare un link a questo documento:
https://hdl.handle.net/20.500.14247/7488