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Modeling systemic risk with Markov switching graphical SUR models
Bianchi, Daniele; Billio, Monica; Casarin, Roberto; … - 2018 - This version: July, 2018
Persistent link: https://www.econbiz.de/10011920738
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Network tail risk estimation in the European banking system
Torri, Gabriele; Giacometti, Rosella; Tichý, Tomáš - In: Journal of economic dynamics & control 127 (2021), pp. 1-18
Persistent link: https://www.econbiz.de/10012668977
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Risk aggregration and stochastic claims reserving in disability insurance
Djehiche, Boualem; Löfdahl, Björn - In: Insurance / Mathematics & economics 59 (2014), pp. 100-108
Persistent link: https://www.econbiz.de/10010469169
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The topology of information on the space of probability measures over Polish spaces
Barbie, Martin; Gupta, Abhishek - In: Journal of mathematical economics 52 (2014), pp. 98-111
Persistent link: https://www.econbiz.de/10010495162
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Improved estimation methods for value-at-risk, expected shortfall and risk contributions with high precision
Muromachi, Yukio - In: Journal of risk 17 (2014/2015) 5, pp. 1-27
Persistent link: https://www.econbiz.de/10011438902
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Conditional exact law of large numbers and asymmetric information economies with aggregate uncertainty
Qiao, Lei; Sun, Yeneng; Zhang, Zhixiang - In: Economic theory : official journal of the Society for … 62 (2016) 1/2, pp. 43-64
Persistent link: https://www.econbiz.de/10011554107