\(S_U\)-\(\varDelta CoVaR\)

DOI10.1016/J.ECONLET.2011.12.002zbMath1241.62144OpenAlexW3135956697MaRDI QIDQ433176

Pilsun Choi, Keehwan Park, Insik Min

Publication date: 13 July 2012

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2011.12.002

zbMATH Keywords

systemic risk\(S_U\)-normal distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cites Work

• SYSTEMS OF FREQUENCY CURVES GENERATED BY METHODS OF TRANSLATION

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