CoCDaR and mCoCDaR : new approach for measurement of systemic risk contributions
Year of publication: |
2020
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Authors: | Ding, Rui ; Uryasev, Stan |
Published in: |
Journal of risk and financial management : JRFM. - Basel : MDPI, ISSN 1911-8074, ZDB-ID 2739117-6. - Vol. 13.2020, 11/270, p. 1-18
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Subject: | systemic risk | CVaR | conditional drawdown-at-risk | conditional value-at-risk | CVaR regression | drawdown | fund style classification | Risikomaß | Risk measure | Systemrisiko | Systemic risk | Messung | Measurement | Portfolio-Management | Portfolio selection | Finanzkrise | Financial crisis | Finanzsektor | Financial sector | Schätzung | Estimation |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/jrfm13110270 [DOI] hdl:10419/239357 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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