Systemic risk: conditional distortion risk measures
From MaRDI portal
Publication:2670112
DOI10.1016/j.insmatheco.2021.12.002zbMath1484.91504arXiv1901.04689OpenAlexW4206803667MaRDI QIDQ2670112
Roger J. A. Laeven, Jan Dhaene, Yiying Zhang
Publication date: 10 March 2022
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1901.04689
copulastochastic orderssystemic riskdistortion risk measuresco-risk measuresrisk contribution measures
Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Financial networks (including contagion, systemic risk, regulation) (91G45)
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