Identifying systemic risk of assets during international financial crises using Value at Risk elasticities
Year of publication: |
2023
|
---|---|
Authors: | Borer, Daniel ; Perera, Devmali ; Fitriya Fauzi ; Chau Trinh Nguyen |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 90.2023, p. 1-11
|
Subject: | Financial crisis | Portfolio | Risk management | VaR | VaR-elasticity | Theorie | Theory | Finanzkrise | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Risikomanagement | Systemrisiko | Systemic risk | Bankrisiko | Bank risk |
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