How useful is the Marginal Expected Shortfall for the measurement of systemic exposure? : a practical assessment
Julien Idier; Gildas Lamé; Jean-Stéphane Mésonnier
| Year of publication: |
2014
|
|---|---|
| Authors: | Idier, Julien ; Lamé, Gildas ; Mésonnier, Jean-Stéphane |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 47.2014, p. 134-146
|
| Subject: | MES | Systemic risk | Tail correlation | Balance sheet ratios | Panel | Systemrisiko | Risikomaß | Risk measure | Messung | Measurement | Korrelation | Correlation | Finanzkrise | Financial crisis | Risikomanagement | Risk management |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010506498