Asymptotics for systemic risk with dependent heavy-tailed losses
by Jiajun Liu and Yang Yang
| Year of publication: |
2021
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|---|---|
| Authors: | Liu, Jiajun ; Yang, Yang |
| Published in: |
ASTIN bulletin : the journal of the International Actuarial Association. - Cambridge : Cambridge Univ. Press, ISSN 1783-1350, ZDB-ID 2148228-7. - Vol. 51.2021, 2, p. 571-605
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| Subject: | asymptotics | dependence | heavy-tailedness | systemic risk | systemic risk contagion | Systemrisiko | Systemic risk | Theorie | Theory | Finanzkrise | Financial crisis | Statistische Verteilung | Statistical distribution | Ansteckungseffekt | Contagion effect | Risikomaß | Risk measure | Risiko | Risk |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1017/asb.2021.11 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012523256