Systemic risk measurement : multivariate GARCH estimation of CoVaR
Giulio Girardi
| Year of publication: |
2013
|
|---|---|
| Authors: | Girardi, Giulio ; Ergün, Tolga A. |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 37.2013, 8, p. 3169-3180
|
| Subject: | Value-at-Risk | Conditional Value-at-Risk | Systemic Risk | DCC model | Risikomaß | Risk measure | Systemrisiko | Systemic risk | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Finanzkrise | Financial crisis | Risiko | Risk | Risikomanagement | Risk management | Bankrisiko | Bank risk | Statistische Verteilung | Statistical distribution | Finanzmarkt | Financial market | Schätzung | Estimation | Messung | Measurement |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009778470