Systemic Risk Allocation for Systems with A Small Number of Banks
Year of publication: |
2013-05
|
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Authors: | Qin, Xiao ; Zhou, Chen |
Institutions: | de Nederlandsche Bank |
Subject: | Systemic risk allocation | marginal expected shortfall | systemically important financial institutions | extreme value theory |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Classification: | G21 - Banks; Other Depository Institutions; Mortgages ; C14 - Semiparametric and Nonparametric Methods ; G32 - Financing Policy; Capital and Ownership Structure |
Source: |
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