Hi Rodrigo,
Huybert Groenendaal (
http://www.epixanalytics.com/Dr.-Huybert-Groenendaal.html) describes some
Excel-based simulations dealing with the role of unanticipated correlation
among security returns, and its contribution to systemic risk. He uses
specialized software, and may touch on this in his Nov. 4 "Financial Risk
Modeling" course (online at statistics.com).
Janet Dobbins
--
statistics.com
THE INSTITUTE FOR STATISTICS EDUCATION
612 N. Jackson St.
Arlington, VA 22201
703.522.5410
703.522.5846-fax
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On Fri, Sep 30, 2011 at 12:20 PM, Rodrigo Briceņo <[log in to unmask]>wrote:
> Dear AllStat users. Do any of you have been involved in running simulations
> of systemic risk? I'm looking for software, documentation and methodologies
> regarding this topic, applied to financial sectors.
>
> Regards.
>
> --
> Rodrigo Briceņo
> Economist
> [log in to unmask]
> MSN: [log in to unmask]
> SKYPE: rbriceno1087
>
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