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Systemic risk: conditional distortion risk measures - MaRDI portal

Systemic risk: conditional distortion risk measures (Q2670112)

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Systemic risk: conditional distortion risk measures
scientific article

    Statements

    title
    Systemic risk: conditional distortion risk measures (English)
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    author
    Jan Dhaene
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    Roger J. A. Laeven
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    Yiying Zhang
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    publication date
    10 March 2022
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    zbMATH Keywords
    distortion risk measures
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    co-risk measures
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    risk contribution measures
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    systemic risk
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    stochastic orders
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    copula
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    cites work
    Q4158362
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    Worst VaR scenarios
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    Q4382161
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    Q2778807
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    Stochastic orders
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    Q3281461
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    Identifiers

    Mathematics Subject Classification ID
    91G45
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    91G70
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    62H05
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    zbMATH DE Number
    7487250
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    OpenAlex ID
    W4206803667
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    arXiv ID
    1901.04689
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