Measuring systemic risk via GAS models and extreme value theory : revisiting the 2007 financial crisis
Pedro Gerhardt Gavronski, Flavio A. Ziegelmann
| Year of publication: |
2021
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|---|---|
| Authors: | Gavronski, Pedro Gerhardt ; Ziegelmann, Flavio A. |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 38.2021, p. 1-8
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| Subject: | CDS | Extreme value | GAS | Pareto | Systemic risk | Finanzkrise | Financial crisis | Systemrisiko | Ausreißer | Outliers | Risikomaß | Risk measure | Messung | Measurement | Kreditderivat | Credit derivative | Gaswirtschaft | Gas industry | Finanzdienstleistung | Financial services | Erdgasmarkt | Natural gas market | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2020.101498 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012490211