On joint marginal expected shortfall and associated contribution risk measures
Tong Pu, Yifei Zhang and Yiying Zhang
| Year of publication: |
2024
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|---|---|
| Authors: | Pu, Tong ; Zhang, Yifei ; Zhang, Yiying |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 24.2024, 7, p. 889-908
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| Subject: | Contribution measure | Copula | Joint marginal expected shortfall | Ratio measure | Spillover effect | Stochastic orders | Systemic risk | Risikomaß | Risk measure | Messung | Measurement | Theorie | Theory | Systemrisiko | Risikomanagement | Risk management | Multivariate Verteilung | Multivariate distribution | Finanzkrise | Financial crisis | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2024.2366963 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015050804