Measuring systemic risk using multivariate quantile-located ES models
Year of publication: |
2023
|
---|---|
Authors: | Garcia-Jorcano, Laura ; Sanchis-Marco, Lidia |
Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 21.2023, 1, p. 1-72
|
Subject: | expectiles | expected shortfall | CARE models | forecasting | systemic risk | Systemrisiko | Systemic risk | Prognoseverfahren | Forecasting model | Messung | Measurement | Risikomaß | Risk measure | Finanzkrise | Financial crisis | Finanzdienstleistung | Financial services | Finanzmarkt | Financial market | Multivariate Analyse | Multivariate analysis | Theorie | Theory |
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