Probability equivalent level for CoVaR and VaR
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Publication:6199665
DOI10.1016/j.insmatheco.2023.12.004OpenAlexW4390705357MaRDI QIDQ6199665
Patricia Ortega-Jiménez, Alfonso Suárez-Llorens, Miguel A. Sordo, Franco Pellerey
Publication date: 21 March 2024
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2023.12.004
value at riskconditional value at risksystematic riskstochastically increasingcontagion risk measure
Cites Work
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