Measuring systemic risk using vine-copula
Armin Pourkhanali, Jong-Min Kim, Laleh Tafakori, Farzad Alavi Fard
| Year of publication: |
February 2016
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|---|---|
| Authors: | Pourkhanali, Armin ; Kim, Jong-Min ; Tafakori, Laleh ; Fard, Farzad Alavi |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 53.2016, p. 63-74
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| Subject: | Partial correlation | Vine copula | Credit risk | Kreditrisiko | Systemrisiko | Systemic risk | Multivariate Verteilung | Multivariate distribution | Korrelation | Correlation | Finanzkrise | Financial crisis | Messung | Measurement | Risikomanagement | Risk management | Risikomaß | Risk measure | Finanzmarkt | Financial market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2015.11.010 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011640962