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Financial risk measures for a network of individual agents holding portfolios of light-tailed objects
Klüppelberg, Claudia
;
Seifert, Miriam
-
Sonderforschungsbereich Statistical Modelling of …
-
2019
Persistent link: https://www.econbiz.de/10012035248
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Extreme value theory for space-time processes with heavy-tailed distributions
Davis, Richard A.
;
Mikosch, Thomas
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2006
Persistent link: https://www.econbiz.de/10003370444
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3
Hedging Effectiveness Around U.S. Department of Agriculture Crop Reports
McKenzie, Andrew M.
;
Singh, Navinderpal
-
2011
, Tennessee). Various risk measures, including ‘‘
Value
at
Risk
,’’ are used to determine hedging effectiveness, and ‘‘Analysis of …
Persistent link: https://www.econbiz.de/10009443784
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4
Financial Network Systemic Risk Contributions
Hautsch, Nikolaus
;
Schaumburg, Julia
;
Schienle, Melanie
-
2011
and balance sheet information, we define the systemic risk beta as the time-varying marginal effect of a firm’s
Value-at-risk
…
Persistent link: https://www.econbiz.de/10009467134
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