Which are the SIFIs? A Component Expected Shortfall approach to systemic risk
Year of publication: |
2015
|
---|---|
Authors: | Banulescu, Georgiana-Denisa ; Dumitrescu, Elena-Ivona |
Published in: |
Journal of Banking & Finance. - Elsevier, ISSN 0378-4266. - Vol. 50.2015, C, p. 575-588
|
Publisher: |
Elsevier |
Subject: | Systemic risk | Component Expected Shortfall | Marginal Expected Shortfall | Forecasting |
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