Systemic risk modeling with Lévy copulas
Year of publication: |
2021
|
---|---|
Authors: | Liu, Yuhao ; Djurić, Petar M. ; Kim, Young Shin ; Račev, Svetlozar T. ; Glimm, James |
Published in: |
Journal of Risk and Financial Management. - Basel : MDPI, ISSN 1911-8074. - Vol. 14.2021, 6, p. 1-20
|
Publisher: |
Basel : MDPI |
Subject: | backtesting | CoVaR | Lévy process | NTS copula |
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