Measuring systemic risk contribution : the leave-one-out z-score method
Year of publication: |
2020
|
---|---|
Authors: | Li, Xiping ; Tripe, David ; Malone, Chris B. ; Smith, David |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 36.2020, p. 1-7
|
Subject: | Leave-one-out | Systemic risk contribution | Z-score | Systemrisiko | Systemic risk | Risikomaß | Risk measure | Messung | Measurement | Finanzsektor | Financial sector | Finanzkrise | Financial crisis |
-
Measuring network systemic risk contributions : a leave-one-out approach
Hué, Sullivan, (2019)
-
The CoCVaR approach : systemic risk contribution measurement
Huang, Wei-Qiang, (2018)
-
Measuring systemic risk contribution : a higher-order moment augmented approach
Wang, Peiwen, (2024)
- More ...
-
Measuring bank risk : forward-looking z-score
Hafeez, Bilal, (2022)
-
Measuring bank risk : Forward-looking z-score
Hafeez, Bilal, (2022)
-
Li, Xiping, (2022)
- More ...