Systemic risk : conditional distortion risk measures
Jan Dhaene, Roger J.A. Laeven, Yiying Zhang
| Year of publication: |
2022
|
|---|---|
| Authors: | Dhaene, Jan ; Laeven, Roger J. A. ; Zhang, Yiying |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 102.2022, p. 126-145
|
| Subject: | Co-risk measures | Copula | Distortion risk measures | Risk contribution measures | Stochastic orders | Systemic risk | Risikomaß | Risk measure | Messung | Measurement | Systemrisiko | Risiko | Risk | Risikomanagement | Risk management | Theorie | Theory | Bankrisiko | Bank risk | Multivariate Verteilung | Multivariate distribution | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2021.12.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013271967