Showing 161 - 170 of 67,954
Persistent link: https://www.econbiz.de/10011624528
Persistent link: https://www.econbiz.de/10011580408
Persistent link: https://www.econbiz.de/10010502134
Persistent link: https://www.econbiz.de/10010503066
Persistent link: https://www.econbiz.de/10010465715
Persistent link: https://www.econbiz.de/10012179532
In this paper, we propose a novel framework for estimating systemic risk measures and risk allocations based on Markov Chain Monte Carlo (MCMC) methods. We consider a class of allocations whose jth component can be written as some risk measure of the jth conditional marginal loss distribution...
Persistent link: https://www.econbiz.de/10012204312
Persistent link: https://www.econbiz.de/10012242005
Persistent link: https://www.econbiz.de/10012160482
Persistent link: https://www.econbiz.de/10012006432