Copyright : Frank Rumpenhorst
In the study of contagion effects, it is essential to have a proper model for the (typically correlated) exogenous risks that hit the system before contagion starts. This aspect is also important for stress testing, particularly for the way in which stress scenarios are selected.
Dr Peter Raupach is Research Economist for the Deutsche Bundesbank Research Centre. His research interests are credit and market portfolio risk, systemic risk, regulation, risk transfer, banking networks. CV
Lecture organized in partnership with Centre de Recherches Mathématiques
Consult Peter Raupach's presentation
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