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Systemic risk : conditional distortion risk measures

Dhaene, Jan; Laeven, Roger J. A.; Zhang, Yiying - In: Insurance / Mathematics & economics 102 (2022), pp. 126-145

Persistent link: https://www.econbiz.de/10013271967

On joint marginal expected shortfall and associated contribution risk measures

Pu, Tong; Zhang, Yifei; Zhang, Yiying - In: Quantitative finance 24 (2024) 7, pp. 889-908

Persistent link: https://www.econbiz.de/10015050804

Assessing portfolio vulnerability to systemic risk : a vine copula and APARCH-DCC approach

Mba, Jules Clement - In: Financial innovation : FIN 10 (2024), pp. 1-36

the vine copula and APARCH-DCC in assessing portfolio systemic risk. This advanced approach provides nuanced insights into …This study evaluates the sensitivity and robustness of the systemic risk measure, Conditional Value-at-Risk (CoVaR …), estimated using the vine copula and APARCH-DCC models. We compute the CoVaR for the two portfolios across fve allocation …

Persistent link: https://www.econbiz.de/10014532413

Systemic risk and copula models

Pflug, Georg; Pichler, Alois - In: Central European journal of operations research : CEJOR … 26 (2018) 2, pp. 465-483

Persistent link: https://www.econbiz.de/10011866135

Probability equivalent level for CoVaR and VaR

Ortega-Jiménez, Patricia; Pellerey, Franco; Sordo, … - In: Insurance : mathematics and economics 115 (2024), pp. 22-35

Persistent link: https://www.econbiz.de/10015066724

Systemic risk, contagion and risk factors in the Tunisian banking system context : measures and determinants

Chakroun, Mohamed Amin; Gallali, Mohamed Imen - In: Afro-Asian Journal of Finance and Accounting : AAJFA 14 (2024) 2, pp. 246-280

Persistent link: https://www.econbiz.de/10014545417

A copula-based systemic risk measure : application to investment-grade and high-yield CDS portfolios

Choi, So Eun; Jang, Hyun Jin; Choe, Geon Ho - In: Applied economics letters 27 (2020) 15, pp. 1264-1271

Persistent link: https://www.econbiz.de/10012267120

Some systemic risk indicators

El Qalli, Yassine; Said, Khalil - In: Risk and decision analysis 9 (2023) 2/4, pp. 39-56

Persistent link: https://www.econbiz.de/10014473406

Risk measures and dependence modeling

Embrechts, Paul; Hofert, Marius - In: Handbook of Insurance : Volume II, (pp. 95-126). 2025

Persistent link: https://www.econbiz.de/10015394058

Portfolio selection with uncertainty measures consistent with additive shifts

Giacometti, Rosella; Ortobelli, Sergio; Tichý, Tomáš - In: Prague economic papers : a bimonthly journal of … 24 (2015) 1, pp. 3-16

Persistent link: https://www.econbiz.de/10011288798