Does the asymmetric exponential power distribution improve systemic risk measurement?
Shu Wu, Huiqiong Chen and Helong Li
| Year of publication: |
2023
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|---|---|
| Authors: | Wu, Shu ; Chen, Huiqiong ; Li, Helong |
| Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9587, ZDB-ID 2395282-9. - Vol. 17.2023, 1, p. 85-106
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| Subject: | systemic risk | asymmetric exponential power distribution (AEPD) | conditional value-at-risk (CoVaR) | Chinese banking sector | parametric estimation | Statistische Verteilung | Statistical distribution | Systemrisiko | Systemic risk | Risikomaß | Risk measure | Bank | Messung | Measurement | China | Finanzkrise | Financial crisis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JRMV.2022.031 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014485620