On joint marginal expected shortfall and associated contribution risk measures

DOI10.1080/14697688.2024.2366963zbMath1544.91365MaRDI QIDQ6592290

Yifei Zhang, Yiying Zhang, Tong Pu

Publication date: 26 August 2024

Published in: Quantitative Finance (Search for Journal in Brave)

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Statistical methods; risk measures (91G70) Financial networks (including contagion, systemic risk, regulation) (91G45)

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