Abstract : This paper makes a comparison and analysis about those two main systemic risk measurement methods based on option. Through the comparison and analysis in 5 aspects, more knowledge about each method can be discovered including its advantages and disadvantages. Some conclusions about extensions of credit risk measurement methods can also be included in this paper.
Hongxiu Li; Matti Mäntymäki; Xianfeng Zhang. 13th Conference on e-Business, e-Services and e-Society (I3E), Nov 2014, Sanya, China. Springer, IFIP Advances in Information and Communication Technology, AICT-445, pp.346-357, 2014, Digital Services and Information Intelligence. 〈10.1007/978-3-662-45526-5_32〉
https://hal.inria.fr/hal-01342165
Contributeur : Hal Ifip
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Soumis le : mardi 5 juillet 2016 - 14:48:37
Dernière modification le : mercredi 6 juillet 2016 - 10:15:28
Peng Wang, Mingjia Xie. Analysis of Two Methods of Systemic Risk Measurement Based on Option. Hongxiu Li; Matti Mäntymäki; Xianfeng Zhang. 13th Conference on e-Business, e-Services and e-Society (I3E), Nov 2014, Sanya, China. Springer, IFIP Advances in Information and Communication Technology, AICT-445, pp.346-357, 2014, Digital Services and Information Intelligence. 〈10.1007/978-3-662-45526-5_32〉. 〈hal-01342165〉
