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.
https://hal.inria.fr/hal-01342165 Contributor : Hal IfipConnect in order to contact the contributor Submitted on : Tuesday, July 5, 2016 - 2:48:37 PM Last modification on : Wednesday, July 6, 2016 - 10:15:28 AM
Peng Wang, Mingjia Xie. Analysis of Two Methods of Systemic Risk Measurement Based on Option. 13th Conference on e-Business, e-Services and e-Society (I3E), Nov 2014, Sanya, China. pp.346-357, ⟨10.1007/978-3-662-45526-5_32⟩. ⟨hal-01342165⟩