Stress testing bank insolvency risk by systemic equity market shock : an expected shortfall approach
Hank Z. Yang
Year of publication: |
2023
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Authors: | Yang, Hank Z. |
Published in: |
Journal of risk management in financial institutions. - London : Henry Stewart Publ., ISSN 1752-8887, ZDB-ID 2416788-5. - Vol. 16.2022/2023, 3, p. 211-227
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Subject: | systemic risk | total loss absorbing capacity (TLAC) | stress test | Credit Suisse | expected shortfall | extreme value theory | copula | Finanzdienstleistung | Financial services | Risikomaß | Risk measure | Theorie | Theory | Finanzkrise | Financial crisis | Kreditrisiko | Credit risk | Risikomanagement | Risk management | Bankrisiko | Bank risk | Systemrisiko | Systemic risk | Portfolio-Management | Portfolio selection | Bankinsolvenz | Bank failure | Multivariate Verteilung | Multivariate distribution | Statistischer Test | Statistical test |
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