Financial companies' failures : early warning information from systematic and systemic risk measures
Fabrizio Cipollini, Alessandro Giannozzi, Fiammetta Menchetti, Oliviero Roggi
| Year of publication: |
December 2018
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|---|---|
| Authors: | Cipollini, Fabrizio ; Giannozzi, Alessandro ; Menchetti, Fiammetta ; Roggi, Oliviero |
| Published in: |
The quarterly journal of finance. - Singapore : World Scientific Publ., ISSN 2010-1392, ZDB-ID 2620599-3. - Vol. 8.2018, 4, p. 1-20
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| Subject: | Systemic risk | regression beta | dynamic conditional beta | value-at-risk | expected shortfall | marginal expected shortfall | systemic expected shortfall | SRISK | CoVaR | Cox proportional hazard model | Risikomaß | Risk measure | Systemrisiko | Finanzkrise | Financial crisis | Theorie | Theory | Messung | Measurement | Risiko | Risk | Portfolio-Management | Portfolio selection | Betafaktor | Beta risk | Frühwarnsystem | Early warning system |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2010139218400074 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011922064