A vine-copula conditional value-at-risk approach to systemic sovereign debt risk for the financial sector
Juan C. Reboredo, Andrea Ugolini (Department of Economics, Universidade de Santiago de Compostela, Spain)
| Year of publication: |
April 2015
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|---|---|
| Authors: | Reboredo, Juan Carlos ; Ugolini, Andrea |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 32.2015, p. 98-123
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| Subject: | Conditional value-at-risk | Sovereign systemic risk | Financial sector risk | Vine copulas | Sovereign debt crisis | Risikomaß | Risk measure | Finanzkrise | Financial crisis | Öffentliche Schulden | Public debt | Systemrisiko | Systemic risk | Länderrisiko | Country risk | Bankrisiko | Bank risk | Finanzsektor | Financial sector | Schuldenkrise | Debt crisis | Risikomanagement | Risk management | Risikoprämie | Risk premium | 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.najef.2015.02.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011514449