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A R-SOM Analysis of the Link between Financial Market Conditions and a Systemic Risk Index Based on ICA-Factors of Systemic Risk Measures.

Patrick KouontchouAmaury LendasseYoan MichéAlejandro ModestoPeter SarlinBertrand Maillet
Published in: HICSS (2016)
Keyphrases
  • risk measures
  • portfolio optimization
  • decision making
  • independent component analysis
  • risk management
  • steady state
  • market conditions