Sovereign bond-backed securities : a VAR-for-VaR and Marginal Expected Shortfall assessment
Year of publication: |
[2018]
|
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Authors: | Sola Perea, Maite de ; Dunne, Peter G. ; Puhl, Martin ; Reininger, Thomas |
Publisher: |
[Dublin] : Central Bank of Ireland |
Subject: | Safe Assets | Sovereign Bonds | Value-at-Risk | Spillover | CAViaR | Co-Dependence | Öffentliche Anleihe | Public bond | Risikomaß | Risk measure | Spillover-Effekt | Spillover effect | Öffentliche Schulden | Public debt | Portfolio-Management | Portfolio selection | Länderrisiko | Country risk |
Extent: | 1 Online-Ressource (circa 36 Seiten) Illustrationen |
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Series: | Research technical papers. - Dublin : [Verlag nicht ermittelbar], ZDB-ID 2266428-2. - Vol. RT 18, 03 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
Language: | English |
Source: | ECONIS - Online Catalogue of the ZBW |
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