Nonparametric estimation of systemic risk via conditional value-at-risk
Ahmed Belhad, Davide Lauria and A. Alexandre Trindade
| Year of publication: |
2022
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|---|---|
| Authors: | Belhad, Ahmed ; Lauria, Davide ; Trindade, A. Alexandre |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 25.2022, 1, p. 1-21
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| Subject: | tail dependence | concomitants of order statistics | nonparametric bootstrap | saddlepoint approximation | Nichtparametrisches Verfahren | Nonparametric statistics | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Schätztheorie | Estimation theory | Bootstrap-Verfahren | Bootstrap approach | Wahrscheinlichkeitsrechnung | Probability theory | Systemrisiko | Systemic risk | Nichtparametrische Schätzung | Nonparametric estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOR.2022.041 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013549675