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~isPartOf:"Journal of risk and financial management : JRFM"
~person:"Ding, Rui"
~subject:"Messung"
~subject:"Statistical distribution"
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Journal of risk and financial management : JRFM
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CoCDaR and mCoCDaR : new approach for measurement of systemic risk contributions
Ding, Rui
;
Uryasev, Stan
- In:
Journal of risk and financial management : JRFM
13
(
2020
)
11/270
,
pp. 1-18
system. We extend CoVaR (
value-at-risk
conditioned on an institution) and CoCVaR (conditional
value-at-risk
conditioned on an …
Persistent link: https://www.econbiz.de/10012389811
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