A simulation-based method for estimating systemic risk measures
Wuyi Ye, Yi Zhou, Pengzhan Chen, Bin Wu
| Year of publication: |
2024
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|---|---|
| Authors: | Ye, Wuyi ; Zhou, Yi ; Chen, Pengzhan ; Wu, Bin |
| Published in: |
European journal of operational research : EJOR. - Amsterdam [u.a.] : Elsevier, ISSN 0377-2217, ZDB-ID 1501061-2. - Vol. 313.2024, 1 (16.2.), p. 312-324
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| Subject: | Asymptotic expansions | Relative errors | Risk management | Simulation | Systemic risk measures | Systemrisiko | Systemic risk | Risikomanagement | Bankrisiko | Bank risk | Risikomaß | Risk measure | Schätztheorie | Estimation theory | Monte-Carlo-Simulation | Monte Carlo simulation | Messung | Measurement | Kreditrisiko | Credit risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2023.08.032 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014456563