Measuring systemic risk : common factor exposures and tail dependence effects
Wan-Chien Chiu and Juan Ignacio Peña; Chih-Wei Wang
| Year of publication: |
2015
|
|---|---|
| Authors: | Chiu, Wan-Chien ; Peña Sánchez de Rivera, Juan Ignacio ; Wang, Chih-Wei |
| Published in: |
European financial management : the journal of the European Financial Management Association. - Oxford : Wiley-Blackwell, ISSN 1354-7798, ZDB-ID 1235378-4. - Vol. 21.2015, 5, p. 833-866
|
| Subject: | correlated jumps | systemic risk | tail dependence effects | predictability | Systemrisiko | Systemic risk | Statistische Verteilung | Statistical distribution | Korrelation | Correlation | Finanzkrise | Financial crisis | Risikomaß | Risk measure | Multivariate Verteilung | Multivariate distribution | Theorie | Theory | Messung | Measurement |
| 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/10011408533