Risk-consistent conditional systemic risk measures
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Publication:271876
DOI10.1016/J.SPA.2016.01.002zbMath1414.91423arXiv1609.07897OpenAlexW2185872883MaRDI QIDQ271876
Gregor Svindland, Thilo Meyer-Brandis, Hannes Hoffmann
Publication date: 20 April 2016
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1609.07897
conditional aggregationconditional expected short fallconditional systemic risk measureconditional value at riskrisk-consistent properties
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
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