An asymptotic study of systemic expected shortfall and marginal expected shortfall
Yiqing Chen, Jiajun Liu
| Year of publication: |
2022
|
|---|---|
| Authors: | Chen, Yiqing ; Liu, Jiajun |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 105.2022, p. 238-251
|
| Subject: | Systemic risk | Heavy-tailed distributions | Random weights | Asymptotic independence | Regular variation | Risikomaß | Risk measure | Theorie | Theory | Systemrisiko | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2022.04.009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013349026