Backtesting marginal expected shortfall and related systemic risk measures
Year of publication: |
2019
|
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Authors: | Banulescu, Denisa ; Hurlin, Christophe ; Leymarie, Jérémy ; Scaillet, Olivier |
Publisher: |
Geneva : Swiss Finance Institute |
Subject: | Systemic risk | Backtesting | Marginal Expected Shortfall | SRISK | CoVaR | Risikomaß | Risk measure | Systemrisiko | Messung | Measurement | Finanzkrise | Financial crisis | Theorie | Theory |
Extent: | 1 Online-Ressource (circa 64 Seiten) Illustrationen |
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Series: | Research paper series / Swiss Finance Institute. - Geneva, ZDB-ID 2392286-2. - Vol. no 19, 48 Swiss Finance Institute Research Paper ; No. 19-48 (2019) |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
Language: | English |
Other identifiers: | 10.2139/ssrn.3456052 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
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