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CoVaR
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Marginal Expected Shortfall
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Systemic Risk
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expected shortfall
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granularity adjustment
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importance sampling
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systemic capital charge
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Düllmann, Klaus
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Löffler, Gunter
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Puzanova, Natalia
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Raupach, Peter
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Deutsche Bundesbank
National Bureau of Economic Research
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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Business School, University of Sydney
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University of Canterbury / Dept. of Economics and Finance
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
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Sonderforschungsbereich Statistical Modelling of Nonlinear Dynamic Processes
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Universität Konstanz
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Robustness and informativeness of systemic risk measures
Löffler, Gunter
;
Raupach, Peter
-
Deutsche Bundesbank
-
2013
expected
shortfall
, and option-based tail risk estimates. We show that CoVaR exhibits undesired characteristics in the way it …
Persistent link: https://www.econbiz.de/10010984713
Saved in:
2
Systemic risk contributions: a credit portfolio approach
Düllmann, Klaus
;
Puzanova, Natalia
-
Deutsche Bundesbank
-
2011
proxy for interconnectedness. We measure systemic risk in terms of the portfolio
expected
shortfall
(ES). Banks' (marginal …
Persistent link: https://www.econbiz.de/10009024636
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