Nonparametric estimation of systemic risk via conditional value-at-risk
Year of publication: |
2022
|
---|---|
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
|
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 |
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