Search Results

Extreme risk and small investor behavior in developed markets,
Lorne Switzer, Jun Wang and Seungho Lee, in Journal of Asset Management (2017)
Keywords: volatility, extreme risk, small investor behavior

Statistics of extreme events in risk management: The impact of the subprime and global financial crisis on the German stock market,
Rodrigo Herrera and Bernhard Schipp, in The North American Journal of Economics and Finance (2014)
Keywords: Extreme value theory; Value at Risk; Subprime crisis; German stock market;

Modeling extreme risk spillovers between crude oil and Chinese energy futures markets,
Xiaohang Ren, Yiying Li, Xianming Sun, Ruijun Bu and Fredj Jawadi, in Energy Economics (2023)
Keywords: Connectedness; Network analysis; Energy futures markets; Extreme risk spillovers;

Multiscale features of extreme risk spillover networks among global stock markets,
Yinghua Ren, Wanru Zhao, Wanhai You and Huiming Zhu, in The North American Journal of Economics and Finance (2022)
Keywords: Global equity markets; Extreme risk spillover; Multiscale networks; Wavelet analysis; Time-frequency dynamic;

Extreme risk transmission among bitcoin and crude oil markets,
Dongxin Li, Yanran Hong, Lu Wang, Pengfei Xu and Zhigang Pan, in Resources Policy (2022)
Keywords: Bitcoin; Crude oil markets; Granger causality; Extreme risk transmission; Time-frequency domain;

Modeling the Risk of Extreme Value Dependence in Chinese Regional Carbon Emission Markets,
Hong Qiu, Genhua Hu, Yuhong Yang, Jeffrey Zhang and Ting Zhang, in Sustainability (2020)
Keywords: carbon emission markets; GARCH; extreme value theory; copula function; value-at-risk

Forecasting the effect of extreme sea-level rise on financial market risk,
Laura Garcia-Jorcano and Lidia Sanchis-Marco, in International Review of Economics & Finance (2024)
Keywords: Sea-level rise; Climate change; Extreme value theory; Forecasting; Financial market risk;

Extreme Risk Measures for International REIT Markets,
Jian Zhou and Randy Anderson, in The Journal of Real Estate Finance and Economics (2012)
Keywords: Value-at-Risk, Expected shortfall, Extreme risks, Financial crisis, REITs,

Risk in Emerging Stock Markets from Brazil and Mexico: Extreme Value Theory and Alternative Value at Risk Models,
Edgar Ortiz, in Frontiers in Finance and Economics (2011)
Keywords: Extreme Values, Value-at-Risk, Risk Management, Emerging Capital Markets, Mexico, Brazil.

Key market identification, mechanism transmission, and extreme shock during the risk spillover process: an empirical study of the G20 FOREX markets,
Wei Zhou, Jin Guo, Ning Chen and Shuai Lu, in Empirical Economics (2023)
Keywords: Risk spillovers, Key markets identification, Transmission mechanism, Extreme shock, FOREX market

Markets liquidity risk under extremal dependence: Analysis with VaRs methods,
Awatef Ourir and Wafa Snoussi, in Economic Modelling (2012)
Keywords: Value-at-Risk; Liquidity risk; Dependency; Extreme value;

Extreme Risk and Value-at-Risk in the German Stock Market,
Konstantinos Tolikas, Athanasios Koulakiotis and Richard A. Brown, in The European Journal of Finance (2007)
Keywords: Extreme value theory, value-at-risk, L-moments, probability weighted moments, Anderson-Darling goodness of fit test, generalized extreme value distribution, generalized logistic distribution,

Stock market extreme risk prediction based on machine learning: Evidence from the American market,
Tingting Ren, Shaofang Li and Siying Zhang, in The North American Journal of Economics and Finance (2024)
Keywords: Stock market extreme risk prediction; Machine learning; Active learning; Imbalanced distribution; Concept drift;

Managing extreme risk in some major stock markets: An extreme value approach,
Madhusudan Karmakar and Girja K. Shukla, in International Review of Economics & Finance (2015)
Keywords: Extreme Value Theory; Peak over threshold method; Conditional EVT; Value-at-Risk;

Risk Management on the Metals Market,
Krężołek Dominik and Trzpiot Grażyna, in Econometrics. Advances in Applied Data Analysis (2020)
Keywords: risk measure, modified GlueVaR, extreme risk, sources of risk, metals market

Extreme risk spillovers across financial markets under different crises,
Yufei Cao, in Economic Modelling (2022)
Keywords: Extreme risk spillovers; Extreme financial events; Peak-over-threshold models; Value at risk; Conditional value at risk;

Risk measurement under extreme events. An in-context methodological review,
Jorge Uribe and Inés Ulloa, in Lecturas de Economía (2012)
Keywords: Value at risk, expected tail loss, extreme value theory, Latin American stock markets, extreme risks

Extreme risk spillover of the oil, exchange rate to Chinese stock market: Evidence from implied volatility indexes,
Lin Chen, Fenghua Wen, Wanyang Li, Hua Yin and Lili Zhao, in Energy Economics (2022)
Keywords: Extreme risk spillover; Implied volatility index; Copula-CoVaR; Chinese stock market;

Extreme risk spillover effects of international oil prices on the Chinese stock market: A GARCH-EVT-Copula-CoVaR approach,
Jing Zhao, Luansong Cui, Weiguo Liu and Qiwen Zhang, in Resources Policy (2023)
Keywords: Risk spillovers; Extreme value theory; Copula; Delta CoVaR; Chinese stock markets;

The contagion of fake news concern and extreme stock market risks during the COVID-19 period,
Yun Hong, Bo Qu, Zhuohang Yang and Yanhui Jiang, in Finance Research Letters (2023)
Keywords: Fake news concern; Extreme stock market risk; Contagion; TVP-VAR model;

Bitcoin vs. fiat currencies: Insights from extreme dependence and risk spillover analysis with financial markets,
Ilyes Abid, Elie Bouri, Emilios Galariotis, Khaled Guesmi and Hela Mzoughi, in International Review of Financial Analysis (2023)
Keywords: Bitcoin; Fiat currencies; Financial markets; Extreme dependence and risk spillovers; Price spillovers; Copulas; CoVaR;

Extreme risk connectedness among global major financial institutions: Links to globalization and emerging market fear,
Yin Liao and Zheyao Pan, in Pacific-Basin Finance Journal (2022)
Keywords: Realized jumps; Extreme risk connectedness; Financial institutions; Globalization; Emerging market fear; High-frequency data;

EXTREME VALUE THEORY IN EMERGING MARKETS,
Goran Andjelic, Ivana Milosev and Vladimir Djakovic, in Economic Annals (2010)
Keywords: Extreme Value Theory, Value at Risk, Risk Management, Generalized Pareto Distribution, Emerging Markets

Extreme Weather Patterns and Risk Assessment Strategies in the Banking Industry: A Survey,
Demetri Tsanacas, in International Journal of Finance, Insurance and Risk Management (2024)
Keywords: Financial institutions, financial markets, financial services, risk, extreme weather.

Granger causality in risk and detection of extreme risk spillover between financial markets,
Yongmiao Hong, Yanhui Liu and Shouyang Wang, in Journal of Econometrics (2009)
Keywords: Cross-spectrum Extreme downside risk Financial contagion Granger causality in risk Nonlinear time series Risk management Value at Risk

Long run peso/dollar exchange rates and extreme value behavior: Value at Risk modeling,
Raúl de Jesús, Edgar Ortiz and Alejandra Cabello, in The North American Journal of Economics and Finance (2013)
Keywords: VaR; Extreme value theory; Exchange rates risk; Emerging markets risk;

Assessing stochastic dominance of downside and upside financial risk profiles using the block maxima method in extreme value theory,
Simon Li, in Journal of Risk Management in Financial Institutions (2024)
Keywords: extreme risk measurement, risk-aversion investment, stock market index

Extreme state media reporting and the extreme stock market during COVID-19: A multi-quantile VaR Granger causality approach in China,
Yun Hong, Yanhui Jiang, Xiaojian Su and Chao Deng, in Research in International Business and Finance (2024)
Keywords: State media; Stock market; Ownership; Extreme risk; VaR granger causality;

Extreme illiquidity and stock returns: Evidence from Thailand market,
Xi Chen, Junbo Wang, Yanchu Wang and Xiaoling Zhong, in Pacific-Basin Finance Journal (2023)
Keywords: Extreme illiquidity; Financial crisis; Tail risk; Thailand stock markets;

Extreme Linkages in Financial Markets: Macro Shocks and Systemic Risk,
Charnchai Leuwattanachotinan and Casper de Vries, from Puey Ungphakorn Institute for Economic Research (2015)
Keywords: Spillover; Systemic risk; Macro shock; Extreme Value Theory

Extreme linkages between foreign exchange and general financial markets,
Chih-Chiang Wu, Wei-Peng Chen and Nattawadee Korsakul, in Pacific-Basin Finance Journal (2021)
Keywords: Foreign exchange market; Extreme dependence; Asymmetric dependence; Dynamic copula model; Extreme risk Spillover;

Managing Extreme Risks in Tranquil and Volatile Markets Using Conditional Extreme Value Theory,
Hans Byström, from Lund University, Department of Economics (2001)
Keywords: Value-at-Risk; conditional extreme value theory; GARCH; backtesting

Mutual excitation between OECD stock and oil markets: A conditional intensity extreme value approach,
Rodrigo Herrera, Sergio González and Adam Clements, in The North American Journal of Economics and Finance (2018)
Keywords: Extreme value theory; Financial markets; Oil markets; Value at risk; Interdependence;

The new hybrid value at risk approach based on the extreme value theory,
Nikola Radivojevic, Milena Cvjetkovic and Saša Stepanov, in Estudios de Economia (2016)
Keywords: Value at Risk; Extreme Value Theory; Expected Shortfall; emerging markets; market risk.

RISK ASSESSMENT OF EXTREME EVENTS IN ROMANIA,
Ionela-Daniela Gaitan (Botezatu), in Annals - Economy Series (2020)
Keywords: risk, evaluation, extreme event, risk management

Extreme downside risk spillover from the United States and Japan to Asia-Pacific stock markets,
Lu Liu, in International Review of Financial Analysis (2014)
Keywords: Extreme downside risk; Risk spillover; Value at Risk; Granger causality in risk; Markov switching; Extreme value regression;

Value-at-risk estimation with wavelet-based extreme value theory: Evidence from emerging markets,
Atilla Cifter, in Physica A: Statistical Mechanics and its Applications (2011)
Keywords: Extreme value theory; Wavelet-based extreme value theory; Emerging markets;

Extreme risk spillovers between China and major international stock markets,
Lingling Qian, Yuexiang Jiang and Huaigang Long, in Modern Finance (2023)
Keywords: vine copula, high-dimensional dependence structure, Granger causality in risk, extreme risk spillover

Filtered Extreme Value Theory for Value-At-Risk Estimation,
Alper Ozun, Atilla Cifter and Sait Yilmazer, from University Library of Munich, Germany (2007)
Keywords: Value at-Risk; Filtered Expected shortfall; Extreme value theory; emerging markets

Predictive performance of conditional Extreme Value Theory in Value-at-Risk estimation,
Ahmed Ghorbel and Abdelwahed Trabelsi, in International Journal of Monetary Economics and Finance (2008)
Keywords: financial risk management; value-at-risk; VaR estimation; extreme value theory; EVT; conditional EVT; backtesting; peaks over threshold; block maxima; market risks; stock markets; extreme losses; forecasting.

Uncertainties and extreme risk spillover in the energy markets: A time-varying copula-based CoVaR approach,
Qiang Ji, Bing-Yue Liu, Henrik Nehler and Gazi Uddin, in Energy Economics (2018)
Keywords: Uncertainty; Time-varying copula; ∆CoVaR; Extreme risk;

Forecasting the VaR of the crude oil market: A combination of mixed data sampling and extreme value theory,
Yongjian Lyu, Fanshu Qin, Rui Ke, Mo Yang and Jianing Chang, in Energy Economics (2024)
Keywords: Crude oil market; Value at risk; GARCH-MIDAS; Extreme-value distribution;

Extreme dependencies and spillovers between gold and stock markets: evidence from MENA countries,
Walid Mensi, Debasish Maitra, Refk Selmi and Xuan Vinh Vo, in Financial Innovation (2023)
Keywords: Copula, CoVaR, Extreme dependence, Gold, MENA markets, Risk spillovers

Extreme weather, climate risk, and the lead–lag role of carbon,
Zhang-Hangjian Chen, Wei-Wei Chu, Xiang Gao, Kees G. Koedijk and Yaping Xu, in Global Finance Journal (2024)
Keywords: Carbon market; Foreign exchange market; Extreme weather risk; Lead–lag structure;

Market anomalies and disaster risk: Evidence from extreme weather events,
Matthew G. Lanfear, Abraham Lioui and Mark G. Siebert, in Journal of Financial Markets (2019)
Keywords: Anomalies; Event study; Extreme weather events; Hurricanes; Illiquidity; Rare disasters; Tail risk;

Extreme Value Theory and Value at Risk: Application to oil market,
Velayoudoum Marimoutou, Bechir Raggad and Abdelwahed Trabelsi, in Energy Economics (2009)
Keywords: Extreme Value Theory Value at Risk Oil price volatility GARCH Historical Simulation Filtered Historical Simulation

Regular Variation and Extremal Dependence of GARCH Residuals with Application to Market Risk Measures,
Fabrizio Laurini and Jonathan Tawn, in Econometric Reviews (2009)
Keywords: Declustering, Expected shortfalls, Extremal dependence, Generalized Pareto distribution, Regular variation, Value-at-Risk,

THE IMPACT OF EXTREME RISK EVENTS ON THE ECONOMY,
Ionela-Daniela Gä‚itan, in EcoForum (2016)
Keywords: extreme risk events, impact, methods, natural disaster

Comparison of Block Maxima and Peaks Over Threshold Value-at-Risk models for market risk in various economic conditions,
Szubzda Filip and Marcin Chlebus, in Central European Economic Journal (2019)
Keywords: Value-at-Risk, extreme value theory, forecasting, market risk

Comparison of Block Maxima and Peaks Over Threshold Value-at-Risk models for market risk in various economic conditions,
Szubzda Filip and Marcin Chlebus, in Central European Economic Journal (2019)
Keywords: Value-at-Risk, extreme value theory, forecasting, market risk

When one domino falls, others follow: A machine learning analysis of extreme risk spillovers in developed stock markets,
Sitara Karim, Muhammad Shafiullah and Muhammad Abubakr Naeem, in International Review of Financial Analysis (2024)
Keywords: Extreme risk spillovers; Neural networks; Quantile regression; CoVaR; Tail risk;

A method for evaluating the extreme risk sources of financial markets: The case of stock markets in China,
Junpeng Di and Pingfang Zhu, in Global Finance Journal (2015)
Keywords: Bayesian quantile regression; CVaR–Granger causality test; Extreme risk; Source;

Can agricultural and precious metal commodities diversify and hedge extreme downside and upside oil market risk? An extreme quantile approach,
Jose Areola Hernandez, Syed Jawad Hussain Shahzad, Gazi Uddin and Sang Hoon Kang, in Resources Policy (2019)
Keywords: Energy market oil prices; Agricultural commodities; Precious metals; Extreme quantile dependence; Predictability;

Can agricultural and precious metal commodities diversify and hedge extreme downside and upside oil market risk? An extreme quantile approach,
Jose Areola Hernandez, Syed Jawad Hussain Shahzad, Gazi Uddin and Sang Hoon Kang, from HAL (2019)
Keywords: Predictability,Energy market oil prices,Agricultural commodities,Precious metals,Extreme quantile dependence

Thoughts on Extreme Risk in Indonesia,
Roberto Akyuwen, Raymond Boffey, Robert Powell and Krisna Wijaya, from Springer (2015)
Keywords: Portfolios, Value at risk (VaR), Conditional value at risk (CVaR), Extreme risk, Indonesia

The Efficiency of Value-at-Risk Models during Extreme Market Stress in Cryptocurrencies,
Danai Likitratcharoen, Pan Chudasring, Chakrin Pinmanee and Karawan Wiwattanalamphong, in Sustainability (2023)
Keywords: market risk; value-at-risk; market stress; cryptocurrency; blockchain

Extreme observations and risk assessment in the equity markets of MENA region: Tail measures and Value-at-Risk,
A. Assaf, in International Review of Financial Analysis (2009)
Keywords: Extreme value theory MENA stock markets Hill estimator VaR

Extreme weather risk and the cost of equity,
Alexander Braun, Julia Braun and Florian Weigert, from University of Cologne, Centre for Financial Research (CFR) (2023)
Keywords: Extreme Weather Risk, Climate Risk, Cost of Equity, Empirical Asset Pricing

Extreme Financial Risks and Asset Allocation,
Olivier Le Courtois and Christian Walter, from World Scientific Publishing Co. Pte. Ltd. (2014)
Keywords: Lévy Process, Extreme Risks, Risk Management, Portfolio Management, Asset Allocation

Increased Correlation in Bear markets: A Downside Risk Perspective,
Paul Kofman, Kees Koedijk and Rachel Campbell, from C.E.P.R. Discussion Papers (2002)
Keywords: International equity markets; Correlation; Extreme returns; Downside risk

Estimating the 'value at risk' of EUA futures prices based on the extreme value theory,
Zhi-Fu Mi and Yue-Jun Zhang, from Center for Energy and Environmental Policy Research (CEEP), Beijing Institute of Technology (2010)
Keywords: EU ETS, Extreme Value Theory (EVT), Value at Risk (VaR), Carbon Market

Extreme Value Theory and Value at Risk: Application to Oil Market,
Vêlayoudom Marimoutou, Bechir Raggad and Abdelwahed Trabelsi, from HAL (2006)
Keywords: Filtered Historical Simulation,Extreme Value Theory,Value at Risk,oil price volatility,GARCH,Historical Simulation,Filtered Historical Simulation.

Measuring risk of crude oil at extreme quantiles,
Saša Žiković, in Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics (2011)
Keywords: WTI oil, Value at Risk, VaR, extremes, extreme value theory

A Coupling of Extreme-Value Theory and Volatility Updating with Value-at-Risk Estimation in Emerging Markets: A South African Test,
Anthony J. Seymour and Daniel A. Polakow, in Multinational Finance Journal (2003)
Keywords: backtesting; extreme value theory; GARCH, historical simulation; RiskMetrics; value-at-risk

Magnitude and persistence of extreme risk spillovers in the global energy market: A high-dimensional left-tail interdependence perspective,
Bo Zhu, Renda Lin and Jiahao Liu, in Energy Economics (2020)
Keywords: Energy firm; Extreme risk spillover; Interdependence; Persistence; Spatial heterogeneity;

Extreme risk transmission channels between the stock index futures and spot markets: Evidence from China,
Zhihong Jian, Xupei Li and Zhican Zhu, in The North American Journal of Economics and Finance (2022)
Keywords: SDMV-CAViaR model; Realized skewness; Extreme risk spillovers;

Idiosyncrasies of Intraday Risk in Emerging and Developed Markets: Efficacy of the MCS-GARCH Model and Extreme Value Theory,
Aditya Banerjee and Samit Paul, in Global Business Review (2024)
Keywords: Expected shortfall; extreme value theory; intraday; MCS-GARCH; value-at-risk

Conditional Extreme Values Theory and Tail-related Risk Measures: Evidence from Latin American Stock Markets,
Ra l de Jes s-Guti rrez and Roberto J. Santill n-Salgado, in International Journal of Economics and Financial Issues (2019)
Keywords: Conditional extreme value theory, Value at Risk, Expected Shortfall.

The Extreme-Value Dependence Between the Chinese and Other International Stock Markets,
David Giles, from Department of Economics, University of Victoria (2010)
Keywords: Extreme value analysis, peaks-over-threshold, value at risk, expected shortfall, asymptotic dependence, Chinese equity market

Measuring market risk: a copula and extreme value approach,
Alexandru Stanga, from Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB (2008)
Keywords: Value-at-Risk

Measuring risks in the extreme tail: The extreme VaR and its confidence interval,
Dominique Guegan, Bertrand Hassani and Kehan Li, from HAL (2017)
Keywords: Extreme risk,Extreme Value-at-Risk,Confidence interval,Asymptotic theory,Stress testing,Regulation

Measuring risks in the extreme tail: The extreme VaR and its confidence interval,
Dominique Guegan, Bertrand Hassani and Kehan Li, from HAL (2017)
Keywords: Extreme risk,Extreme Value-at-Risk,Confidence interval,Asymptotic theory,Stress testing,Regulation

Measuring risks in the extreme tail: The extreme VaR and its confidence interval,
Dominique Guegan, Bertrand K. Hassani and Kehan Li, from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2017)
Keywords: Regulation; Extreme risk; Extreme Value-at-Risk; Confidence interval; Asymptotic theory; Stress testing

The extreme downside risk of the S&P 500 stock index,
Sofiane Aboura, from HAL (2009)
Keywords: Extreme Value Theory,Risk management

A dynamic model of extreme risk coverage: resilience and efficiency in the global reinsurance market,
Sabine Lemoyne de Forges, Ruben Bibas and Stephane Hallegatte, from The World Bank (2011)
Keywords: Markets and Market Access,Insurance&Risk Mitigation,Climate Change Economics,Debt Markets,Emerging Markets

Research on Risk Measurement of China’s Carbon Trading Market,
Yanzhi Duan, Chunlei He, Li Yao, Yue Wang, Nan Tang and Zhong Wang, in Energies (2023)
Keywords: carbon market; price volatility; risk measurement; EGARCH; extreme value theory

Extreme downside risk and expected stock returns,
Wei Huang, Qianqiu Liu, S. Ghon Rhee and Feng Wu, in Journal of Banking & Finance (2012)
Keywords: Extreme downside risk; Generalized extreme value distribution; Idiosyncratic risk; Bankruptcy risk;

The risk of catastrophic terrorism: an extreme value approach,
Hamid Mohtadi and Antu Murshid, from University Library of Munich, Germany (2009)
Keywords: CBRN, extreme value theory, risk, terrorism

The impact of extreme events on energy price risk,
Jun Wen, Xin-Xin Zhao and Chun-Ping Chang, in Energy Economics (2021)
Keywords: Extreme events; Energy price risk; Epidemic;

Using the Extremal Index for Value-at-Risk Backtesting*,
Axel Bücher, Peter N Posch and Philipp Schmidtke, in Journal of Financial Econometrics
Keywords: VaR backtesting, extremal index, independence, risk measures

Using the Extremal Index for Value-at-Risk Backtesting*,
Axel Bücher, Peter N Posch and Philipp Schmidtke, in Journal of Financial Econometrics (2020)
Keywords: VaR backtesting, extremal index, independence, risk measures

The Role of Donations in Financing Extreme Risk Events,
Ionela Daniela Găitan-Botezatu, from Editura Lumen (2022)
Keywords: Donations, financing, risk, extreme events, correlation

Asset pricing with extreme liquidity risk,
Ying Wu, in Journal of Empirical Finance (2019)
Keywords: Asset pricing; Extreme liquidity risk; Cross section of returns;

The risk spillovers from the Chinese stock market to major East Asian stock markets: A MSGARCH-EVT-copula approach,
Yang Xiao, in International Review of Economics & Finance (2020)
Keywords: Asian stock markets; Spillover effects; Extreme risk; Vine copula;

Value-at-risk and extreme returns,
Jon Danielsson and Casper Vries, from London School of Economics and Political Science, LSE Library (1997)
Keywords: value-at-risk; extreme value theory; riskMetrics; historical simulation; tail density estimation; kernel estimation; capital requirements

Value-at-Risk and Extreme Returns,
Jon Danielsson and Casper de Vries, from Tinbergen Institute (1998)
Keywords: Value-at-Risk; Extreme Value Theory; RiskMetrics; Historical Simulation; Tail Density Estimation; Financial Regulation

Value at Risk and Market Crashes,
Chris Brooks and Gita Persand, from Henley Business School, University of Reading (2000)
Keywords: Internal Risk Management Models, Stock Market Volatility, Value at Risk Models, Extreme Market Movements, Correlation Matrices, Mulivariate ARCH Model

Stock index pegging and extreme markets,
Xinyue Dong, Rong Ma and Honggang Li, in International Review of Financial Analysis (2019)
Keywords: Stock index; Market stress; Extreme market; Synchronize; Positive feedback;

Modelling the spreading process of extreme risks via a simple agent-based model: Evidence from the China stock market,
Jingru Ji, Donghua Wang and Dinghai Xu, in Economic Modelling (2019)
Keywords: Agent-based model; Method of simulated moments; Extreme risk; Value-at-Risk; C15; C52; G15;

Operations and settlement risk in extreme market conditions,
Sergio Scandizzo, in Journal of Securities Operations & Custody (2010)
Keywords: operational risk, settlement risk, back office, agency, bankruptcy