On dependence consistency of CoVaRand some other systemic risk measures

DOI10.1515/strm-2013-1164zbMath1305.91248arXiv1207.3464OpenAlexW1551726439MaRDI QIDQ5402790

Georg Mainik, Eric Schaanning

Publication date: 17 March 2014

Published in: Statistics & Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1207.3464

zbMATH Keywords

stochastic orderingconditional value-at-risk (CoVaR)systemic risk measuresrisk spilloverdependence consistency

Mathematics Subject Classification ID

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