Pages that link to "Item:Q5402790"
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The following pages link to On dependence consistency of CoVaRand some other systemic risk measures (Q5402790):
Displaying 44 items.
- Vector-valued tail value-at-risk and capital allocation (Q340111) (← links)
- Covar of families of copulas (Q342737) (← links)
- \(S_U\)-\(\varDelta CoVaR\) (Q433176) (← links)
- On conditional value at risk (CoVaR) for tail-dependent copulas (Q515554) (← links)
- On multivariate extensions of conditional-tail-expectation (Q743166) (← links)
- Multivariate risk measures based on conditional expectation and systemic risk for exponential dispersion models (Q784433) (← links)
- The conditional Haezendonck-Goovaerts risk measure (Q826720) (← links)
- On quantile based co-risk measures and their estimation (Q830310) (← links)
- Stochastic orders and co-risk measures under positive dependence (Q1697224) (← links)
- Risk contagion under regular variation and asymptotic tail independence (Q1742742) (← links)
- Conditioning of copulas: transformations, invariance and measures of concordance (Q1754603) (← links)
- Systemic risk and copula models (Q1787919) (← links)
- Upper bounds for strictly concave distortion risk measures on moment spaces (Q1799647) (← links)
- Stochastic comparisons and bounds for conditional distributions by using copula properties (Q1994046) (← links)
- Conditional copula simulation for systemic risk stress testing (Q2015640) (← links)
- The varying spillover of U.S. systemic risk: a functional-coefficient cointegration approach (Q2126203) (← links)
- An asymptotic study of systemic expected shortfall and marginal expected shortfall (Q2155852) (← links)
- Avoiding zero probability events when computing value at risk contributions (Q2172041) (← links)
- Multivariate matrix-exponential affine mixtures and their applications in risk theory (Q2172057) (← links)
- Financial risk measures for a network of individual agents holding portfolios of light-tailed objects (Q2274222) (← links)
- On the role of dependence in residual lifetimes (Q2322668) (← links)
- Redenomination-risk spillovers in the eurozone (Q2328548) (← links)
- On multivariate extensions of the conditional value-at-risk measure (Q2347091) (← links)
- Stochastic orders and multivariate measures of risk contagion (Q2656999) (← links)
- Systemic risk: conditional distortion risk measures (Q2670112) (← links)
- Asymptotic results on marginal expected shortfalls for dependent risks (Q2670113) (← links)
- Extremes for a general contagion risk measure (Q2677934) (← links)
- On peculiarities of\nobreakspace {}CoVaR-based portfolio\nobreakspace {}selection (Q4614225) (← links)
- A consistent estimator to the orthant-based tail value-at-risk (Q4615434) (← links)
- Using copulas for rating weather index insurance contracts (Q5036335) (← links)
- Vulnerability-CoVaR: investigating the crypto-market (Q5039634) (← links)
- Truncation invariant copulas and a testing procedure (Q5222485) (← links)
- Portfolio selection based on semivariance and distance correlation under minimum variance framework (Q6067644) (← links)
- A simulation-based method for estimating systemic risk measures (Q6087550) (← links)
- Systemic risk of optioned portfolio: controllability and optimization (Q6094474) (← links)
- Identifying systemically important financial institutions in China: new evidence from a dynamic copula-CoVaR approach (Q6148779) (← links)
- Probability equivalent level for CoVaR and VaR (Q6199665) (← links)
- Random distortion risk measures (Q6543148) (← links)
- New nonparametric measures for instantaneous and granger-causality tail co-dependence (Q6547155) (← links)
- On joint marginal expected shortfall and associated contribution risk measures (Q6592290) (← links)
- Stochastic orders and distortion risk contribution ratio measures (Q6607487) (← links)
- Conditional Extremes in Asymmetric Financial Markets (Q6626295) (← links)
- Tail moments and tail joint moments for multivariate generalized hyperbolic distribution (Q6653558) (← links)
- Bivariate tail conditional co-expectation for elliptical distributions (Q6665604) (← links)