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  • Search: subject:"Marginal expected shortfall"
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Year of publication
Subject
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Risikomaß 52 Risk measure 52 Systemic risk 51 Systemrisiko 46 Financial crisis 42 Finanzkrise 42 Theorie 24 Theory 24 Bank risk 22 Bankrisiko 22 Risikomanagement 22 Risk management 22 Marginal Expected Shortfall 20 Marginal expected shortfall 19 Measurement 19 Messung 19 Risiko 19 Risk 19 marginal expected shortfall 19 Bank 13 systemic risk 13 CoVaR 9 SRISK 8 Systemic Risk 8 Bankenkrise 7 Banking crisis 7 Capital income 7 Kapitaleinkommen 7 Multivariate Verteilung 7 Multivariate distribution 7 Portfolio selection 7 Portfolio-Management 7 Volatility 7 Welt 7 World 7 ARCH model 6 ARCH-Modell 6 Börsenkurs 6 China 6 Share price 6
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Online availability
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Undetermined 35 Free 25 CC license 2
Type of publication
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Article 52 Book / Working Paper 20
Type of publication (narrower categories)
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Article in journal 44 Aufsatz in Zeitschrift 44 Working Paper 11 Arbeitspapier 9 Graue Literatur 9 Non-commercial literature 9 Article 2 Aufsatz im Buch 1 Book section 1
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Language
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English 59 Undetermined 13
Author
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Löffler, Gunter 4 Qin, Xiao 4 Raupach, Peter 4 Chakroun, Mohamed Amin 3 Gallali, Mohamed Imen 3 Angaman, Ehounou Serge Eloge Florentin 2 Banulescu, Georgiana-Denisa 2 Battaglia, Francesca 2 Bostandzic, Denefa 2 Chen Zhou 2 Chen, Jiusheng 2 Davidson, Sharada Nia 2 Dumitrescu, Elena-Ivona 2 Engle, Robert F. 2 Gallo, Angela 2 Jondeau, Eric 2 Kleinow, Jacob 2 Li, Jinzhu 2 Li, Xiaodan 2 Moccero, Diego Nicolas 2 Moon, Hyejung 2 Muteba Mwamba, John 2 Neumann, Sascha 2 Rockinger, Michael 2 Sheppard, Kevin 2 Stupfler, Gilles 2 Talasli, Irem 2 Yu, Min-Teh 2 Yun, Jaeho 2 Zeldea, Cristina 2 Al-Banna, Hasan 1 Asimit, Alexandru 1 BARONE-ADESI, Giovanni 1 Banulescu, Denisa 1 Bianchi, Michele Leonardo 1 Bouri, Elie 1 Brownlees, Christian 1 Cavaliere, Giuseppe 1 Chang, Carolyn C. W. 1 Cipollini, Fabrizio 1
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Institution
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Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 1 Department of Economics, Oxford University 1 Deutsche Bundesbank 1 Risk Management Institute 1 School of Finance, Universität St. Gallen 1 Türkiye Cumhuriyet Merkez Bankası 1 World Scientific Publishing Co. Pte. Ltd. 1 de Nederlandsche Bank 1
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Published in...
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Journal of banking & finance 5 Insurance / Mathematics & economics 3 Pacific-Basin finance journal 3 Applied economics letters 2 Finance research letters 2 International review of economics & finance : IREF 2 Journal of Banking & Finance 2 Journal of risk 2 Research paper series / Swiss Finance Institute 2 Administrative Sciences 1 Administrative Sciences : open access journal 1 Advances in Pacific Basin business, economics and finance 1 African journal of accounting, auditing and finance : AJAAF 1 Afro-Asian Journal of Finance and Accounting : AAJFA 1 Annals of financial economics 1 Bundesbank Discussion Paper 1 CORE Discussion Papers 1 Central Bank Review 1 Central Bank review / The Central Bank of the Republic of Turkey 1 Challenges in Fiscal and Monetary Policies in Mongolia 1 China finance review international 1 DNB Working Papers 1 DNB working paper 1 Department of Economics discussion paper series / University of Oxford 1 Discussion Papers / Deutsche Bundesbank 1 ECB Working Paper 1 Economics Series Working Papers / Department of Economics, Oxford University 1 Finance a úvěr 1 International Journal of Financial Studies 1 International Journal of Financial Studies : open access journal 1 International Review of Financial Analysis 1 International journal of banking, accounting and finance 1 International journal of banking, accounting and finance : IJBAAF 1 International journal of economics and financial issues : IJEFI 1 International journal of emerging markets 1 International review of financial analysis 1 Iranian economic review : journal of University of Tehran 1 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 1 Journal of economics and finance 1 Journal of financial and quantitative analysis : JFQA 1
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Source
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ECONIS (ZBW) 55 RePEc 13 EconStor 4
Showing 41 - 50 of 72
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The systemic risk of energy markets
PIERRET, Diane - Center for Operations Research and Econometrics (CORE), … - 2013
of the economy are proposed. The measures are derived from the Marginal Expected Shortfall (MES) capturing the tail …
Persistent link: https://www.econbiz.de/10010927730
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Systemic Risk Analysis of Turkish Financial Institutions with Systemic Expected Shortfall
Talasli, Irem - Türkiye Cumhuriyet Merkez Bankası - 2013
marginal expected shortfall and leverage ratios of institutions calculated prior to the crisis period, explains financial …
Persistent link: https://www.econbiz.de/10010941479
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Systemic Risk Allocation for Systems with A Small Number of Banks
Qin, Xiao; Zhou, Chen - de Nederlandsche Bank - 2013
This paper provides a new estimation method for the marginal expected shortfall (MES) based on multivariate extreme …
Persistent link: https://www.econbiz.de/10010659996
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Systemic risk allocation for systems with a small number of banks
Qin, Xiao; Chen Zhou - 2013
Persistent link: https://www.econbiz.de/10009746621
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Financial companies' failures : early warning information from systematic and systemic risk measures
Cipollini, Fabrizio; Giannozzi, Alessandro; Menchetti, … - In: The quarterly journal of finance 8 (2018) 4, pp. 1-20
Persistent link: https://www.econbiz.de/10011922064
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Pitfalls in the use of systemic risk measures
Löffler, Gunter; Raupach, Peter - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 1, pp. 269-298
Persistent link: https://www.econbiz.de/10011929424
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Evaluating the accuracy of tail risk forecasts for systemic risk measurement
Brownlees, Christian; Cavaliere, Giuseppe; Monti, Alice - In: Annals of financial economics 13 (2018) 2, pp. 1-25
Persistent link: https://www.econbiz.de/10011931111
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Modeling systemic risk : time-varying tail dependence when forecasting marginal expected shortfall
Eckernkemper, Tobias - In: Journal of financial econometrics : official journal of … 16 (2018) 1, pp. 63-117
Persistent link: https://www.econbiz.de/10011987686
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Systemic risk, interconnectedness, and non-core activities in Taiwan insurance industry
Chang, Carolyn C. W.; Li, Xiaodan; Lin, Edward M. H.; … - In: International review of economics & finance : IREF 55 (2018), pp. 273-284
Persistent link: https://www.econbiz.de/10012033479
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Systemic risk in Europe
Engle, Robert F.; Jondeau, Eric; Rockinger, Michael - 2012
Systemic risk may be defined as the propensity of a financial institution to be undercapitalized when the financial system as a whole is undercapitalized. In this paper, we investigate the case of non-U.S. institutions, with several factors explaining the dynamics of financial firms returns and...
Persistent link: https://www.econbiz.de/10009684066
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