Measuring systemic risk contribution : a higher-order moment augmented approach
Peiwen Wang, Guanglin Huang
| Year of publication: |
2024
|
|---|---|
| Authors: | Wang, Peiwen ; Huang, Guanglin |
| Published in: |
Finance research letters. - New York : Elsevier Science, ISSN 1544-6123, ZDB-ID 2145766-9. - Vol. 59.2024, Art.-No. 104833, p. 1-8
|
| Subject: | Co-kurtosis | Co-skewness | Eigenvalue decomposition | Portfolio selection | Systemic risk contribution | Systemrisiko | Systemic risk | Portfolio-Management | Finanzsektor | Financial sector | Theorie | Theory | Bankrisiko | Bank risk | Schätzung | Estimation | Messung | Measurement | Risikomaß | Risk measure | Finanzkrise | Financial crisis | Korrelation | Correlation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2023.104833 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014445409