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Tail dependence and indicators of systemic risk for large US depositories
Balla, Eliana, (2014)
Systemic risk measurement : multivariate GARCH estimation of CoVaR
Girardi, Giulio, (2013)
Measuring systemic risk : common factor exposures and tail dependence effects
Chiu, Wan-Chien, (2015)
Estimation of risk measures for large credit portfolios
Hauptmann, Johannes, (2014)
Forecasting market turbulence using regime-switching models