On dependence consistency of CoVaRand some other systemic risk measures (Q5402790)
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scientific article; zbMATH DE number 6270580
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On dependence consistency of CoVaRand some other systemic risk measures |
scientific article; zbMATH DE number 6270580 |
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On dependence consistency of CoVaRand some other systemic risk measures (English)
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17 March 2014
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systemic risk measures
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conditional value-at-risk (CoVaR)
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risk spillover
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dependence consistency
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stochastic ordering
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