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Analysing systemic risk contribution using a closed formula for conditional value at risk through copula

Authors :
Manfred Jäger-Ambrożewicz
Brice Hakwa
Barbara Rüdiger
Source :
Communications on Stochastic Analysis. 9
Publication Year :
2015
Publisher :
Louisiana State University Libraries, 2015.

Subjects

Subjects :
Statistics and Probability
Expected shortfall
Economics
Econometrics
Systemic risk
Copula (probability theory)

Details

ISSN :
09739599
Volume :
9
Database :
OpenAIRE
Journal :
Communications on Stochastic Analysis
Accession number :
edsair.doi...........0cb2634fd415a3ce86c220a14e4ed4c5
Full Text :
https://doi.org/10.31390/cosa.9.1.08
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