Showing 1 - 10 of 19,105
Persistent link: https://www.econbiz.de/10010233265
Persistent link: https://www.econbiz.de/10012253395
financial institutions (G-SIFIs) to evaluate the cross sections and dynamics of the systemic risk allocation. We show that … allocating systemic risk according to either size or individual risk is imperfect and can be unfair. Between the allocation with … respect to individual risk and that with respect to size, the former is less unfair. On the time dimension, both allocation …
Persistent link: https://www.econbiz.de/10013081632
Persistent link: https://www.econbiz.de/10010237085
Although copula modeling has been applied in a growing number of financial applications, high-dimensional copula modeling is still in its early stages. Vine copula modeling not only has the advantage of extending to higher dimensions easily, but also provides a more flexible measure to capture...
Persistent link: https://www.econbiz.de/10013033081
Persistent link: https://www.econbiz.de/10013373254
Persistent link: https://www.econbiz.de/10012521051
Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit it. One of them is the existence of systemic risk that affects all of the policies at the same time. We introduce here a probabilistic approach to examine the consequences of...
Persistent link: https://www.econbiz.de/10010399713
Persistent link: https://www.econbiz.de/10014305372
Persistent link: https://www.econbiz.de/10012815058