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Designing Stress Scenarios

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NBER2022-04-01 更新2025-01-04 收录
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We develop a tractable framework to study the optimal design of stress scenarios. A principal wants to manage the unknown risk exposures of a set of agents. She asks the agents to report their losses under hypothetical scenarios before mandating actions to mitigate the exposures. We show how to

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2022-04-01
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