Probability equivalent level for CoVaR and VaR
Patricia Ortega-Jiménez, Franco Pellerey, Miguel A. Sordo, Alfonso Suárez-Llorens
| Year of publication: |
2024
|
|---|---|
| Authors: | Ortega-Jiménez, Patricia ; Pellerey, Franco ; Sordo, Miguel A. ; Suárez-Llorens, Alfonso |
| Subject: | Conditional value at risk | Contagion risk measure | Stochastically increasing | Systematic risk | Value at risk | Risikomaß | Risk measure | Risiko | Risk | Messung | Measurement | Theorie | Theory | Risikomanagement | Risk management | Ansteckungseffekt | Contagion effect | Stochastischer Prozess | Stochastic process | Wahrscheinlichkeitsrechnung | Probability theory | Systemrisiko | Systemic risk | Bankrisiko | Bank risk | Schätzung | Estimation | Portfolio-Management | Portfolio selection | VAR-Modell | VAR model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2023.12.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015066724