The CoCVaR approach : systemic risk contribution measurement
Wei-Qiang Huang and Stan Uryasev
| Year of publication: |
April 2018
|
|---|---|
| Authors: | Huang, Wei-Qiang ; Uryasev, Stan |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 20.2017/2018, 4, p. 75-93
|
| Subject: | systemic risk contribution | conditional value-at-risk (CVaR) | CoCVar | regression | bank | Systemrisiko | Systemic risk | Risikomaß | Risk measure | Bank | Finanzsektor | Financial sector | Bankrisiko | Bank risk | Messung | Measurement | Finanzkrise | Financial crisis | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOR.2018.383 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011848936