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This paper presents the foundations of a new systemic risk indicator based on contingent claim analysis. The proposed model adapts Gray, Merton and Bodie (2007) methodology to the characteristics of… (More)
Forecasting rare events is a challenge, especially if these events are driven by many different factors and assume diff erent characteristics. We explore the dynamic dimension of discrete choice… (More)
Following the current fi nancial crisis, economic agents as well as their regulators, have been alerted for the need of models able to quantify the risks taken both at individual level and as a… (More)