Computing the probability of a financial market failure: a new measure of systemic risk.
Robert JarrowPhilip ProtterAlejandra QuintosPublished in: Ann. Oper. Res. (2024)
Keyphrases
- financial markets
- risk management
- black scholes
- early warning
- portfolio theory
- stock price
- market data
- stock market
- option pricing
- risk assessment
- fuzzy numbers
- failure rate
- technical indicators
- stock exchange
- investment strategies
- risk analysis
- decision making
- non stationary
- project management
- agent based models
- financial institutions