Markov Chain Monte Carlo methods for estimating systemic risk allocations
Year of publication: |
2020
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Authors: | Koike, Takaaki ; Hofert, Marius |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 8.2020, 1/6, p. 1-33
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Subject: | capital allocation | conditional Value-at-Risk (CoVaR) | copula models | quantitative risk management | systemic risk measures | Monte-Carlo-Simulation | Monte Carlo simulation | Finanzdienstleistung | Financial services | Theorie | Theory | Risikomanagement | Risk management | Risikomaß | Risk measure | Systemrisiko | Systemic risk | Markov-Kette | Markov chain | Multivariate Verteilung | Multivariate distribution | Portfolio-Management | Portfolio selection | Finanzmarkt | Financial market | Bankrisiko | Bank risk |
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/risks8010006 [DOI] hdl:10419/257962 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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