How useful is the Marginal Expected Shortfall for the measurement of systemic exposure? : a practical assessment
Year of publication: |
2014
|
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Authors: | Idier, Julien ; Lamé, Gildas ; Mésonnier, Jean-Stéphane |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 47.2014, p. 134-146
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Subject: | MES | Systemic risk | Tail correlation | Balance sheet ratios | Panel | Risikomaß | Risk measure | Messung | Measurement | Systemrisiko | Korrelation | Correlation | Statistische Verteilung | Statistical distribution | Finanzdienstleistung | Financial services |
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