Estimating dynamic systemic risk measures

Loïc Cantin, Christian Francq, Jean-Michel Zakoïan

Year of publication:	[2022]
Authors:	Cantin, Loïc ; Francq, Christian ; Zakoïan, Jean-Michel
Publisher:	Palaiseau, France : Center for Research in Economics and Statistics
Subject:	conditional CoVaR and Delta-CoVaR \| empirical distribution of bivariate residuals \| model-free estimation risk \| multivariate risks \| Risiko \| Risk \| Schätztheorie \| Estimation theory \| Risikomaß \| Risk measure \| Messung \| Measurement \| Schätzung \| Estimation \| Systemrisiko \| Systemic risk \| Statistische Verteilung \| Statistical distribution \| Finanzmarkt \| Financial market \| Risikomanagement \| Risk management

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