Analysis of the SRISK measure and its application to the Canadian banking and insurance industries

DOI10.1007/S10436-018-0326-3zbMath1418.91626OpenAlexW2805422936MaRDI QIDQ1630433

Thomas F. Coleman, Alex LaPlante, Alexey N. Rubtsov

Publication date: 10 December 2018

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-018-0326-3

zbMATH Keywords

regulationinsurancerisk measuresbankingsystemic risk

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Actuarial science and mathematical finance (91G99)

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