Compound Tail Risk
针对多压力情景下如何解读结果的复合风险问题，利用尾部依赖概念提出解决方案，并应用于全球银行的复合气候与市场风险。
Stress tests are often used to evaluate long-run risks. When considering several stress scenarios, however, there is a question of how to interpret the results. This is the problem of compound risk. Using the concept of tail dependence, a solution is proposed and applied to the compound risk of climate and market risk for global banks.