Identifying systemic risk of assets during international financial crises using Value at Risk elasticities
Daniel Borer, Devmali Perera, Fitriya Fauzi, Trinh Nguyen Chau
| Year of publication: |
2023
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|---|---|
| Authors: | Borer, Daniel ; Perera, Devmali ; Fitriya Fauzi ; Chau Trinh Nguyen |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 90.2023, p. 1-11
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| Subject: | Financial crisis | Portfolio | Risk management | VaR | VaR-elasticity | Finanzkrise | Risikomaß | Risk measure | Risikomanagement | Portfolio-Management | Portfolio selection | Systemrisiko | Systemic risk | Bankrisiko | Bank risk | Bankenkrise | Banking crisis | VAR-Modell | VAR model | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2023.102832 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014469916