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  • Photo du rédacteurHélène Dufour

Measuring Capital at Risk in the Uk Banking Sector: A Microstructural Network Approach

"We ... estimate the quarterly evolution of expected losses (Capital at Risk) for the UK banking sector, and via Monte Carlo simulations the stochastic distribution of UK banks’ losses to study the severity and likelihood of tail-events (Conditional Capital at Risk). In the end, we provide insights on the impact of the Covid-19 pandemic on UK banking system’s loss distribution by decomposing the sources of average and tail risks."


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