Search Results - subject:"Marginal Expected Shortfall"

Pankoke, David - School of Finance, Universität St. Gallen - 2014

institutions contribute to systemic risk. In this investigation, DCoVaR, Marginal Expected Shortfall (MES), SRISK and Granger …

Persistent link: https://www.econbiz.de/10011154580

Weiß, Gregor N.F.; Neumann, Sascha; Bostandzic, Denefa - In: Journal of Banking & Finance 40 (2014) C, pp. 165-181

the marginal expected shortfall as well as the lower tail dependence between a bank’s stock returns and a relevant bank …

Persistent link: https://www.econbiz.de/10011065686

Yun, Jaeho; Moon, Hyejung - In: Pacific-Basin Finance Journal 27 (2014) C, pp. 94-114

(marginal expected shortfall) and CoVaR. To compute both measures we employ Engle's dynamic conditional correlation model. Our …

Persistent link: https://www.econbiz.de/10011043168

Weiß, Gregor; Neumann, Sascha; Bostandzic, Denefa - In: Journal of banking & finance 40 (2014), pp. 165-181

Persistent link: https://www.econbiz.de/10010402243

Qin, Xiao; Zhu, Xi - In: Applied economics letters 21 (2014) 4/6, pp. 261-264

Persistent link: https://www.econbiz.de/10010413856

Yun, Jaeho; Moon, Hyejung - In: Pacific-Basin finance journal 27 (2014), pp. 94-114

Persistent link: https://www.econbiz.de/10010499711

Battaglia, Francesca; Gallo, Angela - In: International Review of Financial Analysis 30 (2013) C, pp. 274-286

shortfall and marginal expected shortfall as a measure of systemic risk. The relationship between securitization activity and …

Persistent link: https://www.econbiz.de/10011056772

Talasli, Irem - In: Central Bank Review 13 (2013) Special Issue on Systemic Risk, pp. 25-40

marginal expected shortfall and leverage ratios of institutions calculated prior to the crisis period, explains financial …

Persistent link: https://www.econbiz.de/10010941566

Talaslı, İrem - In: Central Bank review / The Central Bank of the Republic … 13 (2013), pp. 25-40

Persistent link: https://www.econbiz.de/10010340980

Battaglia, Francesca; Gallo, Angela - In: International review of financial analysis 30 (2013), pp. 274-286

Persistent link: https://www.econbiz.de/10010461551

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