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Search: subject:"conditional value-at-risk (CoVaR)"
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Risikomaß
11
Risk measure
11
Systemic risk
7
Systemrisiko
7
Bank risk
6
Bankrisiko
6
Bank
5
conditional value-at-risk (CoVaR)
5
ARCH model
4
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4
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4
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4
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4
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3
Conditional value at risk (CoVaR)
3
Estimation
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Financial services
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Finanzdienstleistung
3
Measurement
3
Messung
3
Oil price
3
Schätzung
3
Spillover effect
3
Spillover-Effekt
3
Volatility
3
Volatilität
3
conditional Value-at-Risk (CoVaR)
3
Ölpreis
3
Aktienmarkt
2
Beta-skew-t-EGARCH
2
Börsenkurs
2
Capital income
2
Financial crisis
2
Financial market
2
Financial system
2
Finanzkrise
2
Finanzmarkt
2
Finanzsystem
2
Kapitaleinkommen
2
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Chen, Jiusheng
2
Hofert, Marius
2
Koike, Takaaki
2
Chen, Huiqiong
1
Dorbash, Sajad Barkhordary
1
Eric, Schaanning
1
García Molina, Mario
1
Georg, Mainik
1
Hong, KiHoon
1
Horsch, Andreas
1
Jabalameli, Farkhondeh
1
Jiang, Cuixia
1
Kleinow, Jacob
1
Kvapilikova, Ivana
1
Li, Helong
1
Li, Yuqian
1
Manap, Turkhan Ali Abdul
1
Naseri, Seyed Ali
1
Rashid, Abdul
1
Teply, Petr
1
Wu, Jun
1
Wu, Shu
1
Xu, Qifa
1
Zeb, Shumaila
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Journal of risk
3
International journal of economics and finance
1
Iranian economic review : journal of University of Tehran
1
Islamic finance, risk-sharing and macroeconomic stability
1
Journal of economics and finance
1
Journal of risk : JOR
1
Risks
1
Risks : open access journal
1
Statistics & Risk Modeling
1
The North American journal of economics and finance : a journal of financial economics studies
1
The journal of risk model validation
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ECONIS (ZBW)
11
EconStor
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Systemic risk calculation in the Iranian banking system, employing the conditional value-at-risk approach (2009-2019)
Naseri, Seyed Ali
;
Jabalameli, Farkhondeh
;
Dorbash, …
- In:
Iranian economic review : journal of University of Tehran
25
(
2021
)
4
,
pp. 623-639
Persistent link: https://www.econbiz.de/10012806650
Saved in:
2
Asymmetric risk spillovers between oil and the Chinese stock market : a Beta-skew-t-EGARCH-EVT-copula approach
Chen, Jiusheng
- In:
Journal of risk
25
(
2023
)
3
,
pp. 77-127
Persistent link: https://www.econbiz.de/10014283909
Saved in:
3
Does the asymmetric exponential power distribution improve systemic risk measurement?
Wu, Shu
;
Chen, Huiqiong
;
Li, Helong
- In:
The journal of risk model validation
17
(
2023
)
1
,
pp. 85-106
Persistent link: https://www.econbiz.de/10014485620
Saved in:
4
Asymmetric risk spillovers between oil and the Chinese stock market : a Beta-skew-t-EGARCH-EVT-copula approach
Chen, Jiusheng
- In:
Journal of risk : JOR
25
(
2023
)
3
,
pp. 77-127
Persistent link: https://www.econbiz.de/10014487093
Saved in:
5
Markov Chain Monte Carlo methods for estimating systemic risk allocations
Koike, Takaaki
;
Hofert, Marius
- In:
Risks
8
(
2020
)
1
,
pp. 1-33
intersection of linear constraints, this class of allocations covers, for example,
conditional
Value-at-Risk
(
CoVaR
), conditional …
Persistent link: https://www.econbiz.de/10013200542
Saved in:
6
Markov Chain Monte Carlo methods for estimating systemic risk allocations
Koike, Takaaki
;
Hofert, Marius
- In:
Risks : open access journal
8
(
2020
)
1/6
,
pp. 1-33
intersection of linear constraints, this class of allocations covers, for example,
conditional
Value-at-Risk
(
CoVaR
), conditional …
Persistent link: https://www.econbiz.de/10012204312
Saved in:
7
Reinvestigating international crude oil market risk spillovers
Jiang, Cuixia
;
Li, Yuqian
;
Xu, Qifa
;
Wu, Jun
- In:
Journal of risk
24
(
2021
)
1
,
pp. 25-52
Persistent link: https://www.econbiz.de/10012816795
Saved in:
8
Measuring systemic risk in dual banking system : the case of Malaysia
Manap, Turkhan Ali Abdul
- In:
Islamic finance, risk-sharing and macroeconomic stability
,
(pp. 151-170)
.
2019
Persistent link: https://www.econbiz.de/10012098473
Saved in:
9
Analytical method for computing stressed value-at-risk with conditional value-at-risk
Hong, KiHoon
- In:
Journal of risk
19
(
2016/2017
)
3
,
pp. 85-106
Persistent link: https://www.econbiz.de/10011689731
Saved in:
10
Factors driving systemic risk of banks in Latin America
Kleinow, Jacob
;
Horsch, Andreas
;
García Molina, Mario
- In:
Journal of economics and finance
41
(
2017
)
2
,
pp. 211-234
Persistent link: https://www.econbiz.de/10011795624
Saved in:
1
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