Dynamic large financial networks \textit{via} conditional expected shortfalls
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Publication:2076940
DOI10.1016/j.ejor.2021.06.037zbMath1490.91234OpenAlexW3177318821MaRDI QIDQ2076940
Giovanni Bonaccolto, Massimiliano Caporin, Bertrand Maillet
Publication date: 22 February 2022
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2021.06.037
Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10) Financial networks (including contagion, systemic risk, regulation) (91G45)
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Insurance risk analysis of financial networks vulnerable to a shock ⋮ Corporate credit risk counter-cyclical interdependence: a systematic analysis of cross-border and cross-sector correlation dynamics ⋮ The impacts of investor network and herd behavior on market stability: social learning, network structure, and heterogeneity ⋮ Does the default pecking order impact systemic risk? Evidence from Brazilian data ⋮ Loss function-based change point detection in risk measures
Uses Software
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