Sovereign bond-backed securities : a VAR-for-VaR and marginal expected shortfall assessment
Year of publication: |
2019
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Authors: | Sola Perea, Maite de ; Dunne, Peter G. ; Puhl, Martin ; Reininger, Thomas |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 53.2019, p. 33-52
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Subject: | CAViaR | Co-Dependence | Safe assets | Sovereign bonds | Spillover | Value-at-Risk | Öffentliche Anleihe | Public bond | Risikomaß | Risk measure | Spillover-Effekt | Spillover effect | Öffentliche Schulden | Public debt | Portfolio-Management | Portfolio selection | Länderrisiko | Country risk |
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