Sovereign bond-backed securities : a VAR-for-VaR and marginal expected shortfall assessment
Maite De Sola Perea, Peter G. Dunne, Martin Puhl, Thomas Reininger
| Year of publication: |
2019
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|---|---|
| Authors: | Sola Perea, Maite de ; Dunne, Peter G. ; Puhl, Martin ; Reininger, Thomas |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 53.2019, p. 33-52
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| Subject: | CAViaR | Co-Dependence | Safe assets | Sovereign bonds | Spillover | Value-at-Risk | Öffentliche Anleihe | Public bond | Risikomaß | Risk measure | Länderrisiko | Country risk | Spillover-Effekt | Spillover effect | Theorie | Theory | Portfolio-Management | Portfolio selection | Öffentliche Schulden | Public debt | Welt | World |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2019.06.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012171680