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Value of risk (system) conditional the event bank=value at risk level
schloni
·
Oct 5, 2013
·
r-sig-finance
Dear R-community, I try to calculate the Value at risk (VaR) of the financial system conditional the event, that a single bank is on its VaR-level. This is then called the CoVaR. The VaR is the 95%-(negative...
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