Markov Chain Monte Carlo methods for estimating systemic risk allocations
Year of publication: |
2020
|
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Authors: | Koike, Takaaki ; Hofert, Marius |
Subject: | capital allocation | conditional Value-at-Risk (CoVaR) | copula models | quantitative risk management | systemic risk measures | Risikomanagement | Risk management | Risikomaß | Risk measure | Systemrisiko | Systemic risk | Monte-Carlo-Simulation | Monte Carlo simulation | Markov-Kette | Markov chain | Bankrisiko | Bank risk | Finanzmarkt | Financial market | Statistische Verteilung | Statistical distribution | Multivariate Verteilung | Multivariate distribution | Kreditrisiko | Credit risk | Schätztheorie | Estimation theory |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/risks8010006 [DOI] hdl:10419/257962 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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