Multiple risk measures for multivariate dynamic heavy-tailed models

Mauro Bernardi, Antonello Maruotti, Lea Petrella

Year of publication:	September 2017
Authors:	Bernardi, Mauro ; Maruotti, Antonello ; Petrella, Lea
Published in:	Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 43.2017, p. 1-32
Subject:	Markov-Switching models \| Tail risk interdependence \| Risk measures \| Multiple conditional Value-at-Risk \| Multiple conditional expected shortfall \| Systemic risk \| Risikomaß \| Risk measure \| Risiko \| Risk \| Theorie \| Theory \| Messung \| Measurement \| Risikomanagement \| Risk management \| Statistische Verteilung \| Statistical distribution \| Portfolio-Management \| Portfolio selection \| Markov-Kette \| Markov chain \| Systemrisiko \| ARCH-Modell \| ARCH model \| Bankrisiko \| Bank risk

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