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Measuring and testing for the systemically important financial institutions
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Publications and research
Economic and financial publications
Working Papers
Measuring and testing for the systemically important financial institutions
Measuring and testing for the systemically important financial institutions
October 2012
Castro, C.
/
Ferrari, S.
Working Paper N° 228
JEL classification:
C21
C58
G32
Keywords:
systemic risk
SIFIs
interconnectedness
quantile regression
stochastic dominance test
Macro-prudential Research Network (MaRs)
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