An asymptotic study of systemic expected shortfall and marginal expected shortfall (Q2155852): Difference between revisions

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-.1016/j.insmatheco.2022.04.009
@@ Property / DOI: 10.1016/j.insmatheco.2022.04.009 / rank @@
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+https://doi.org/10.1016/j.insmatheco.2022.04.009
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+W4224736663
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@@ Property / cites work @@
+Asymptotics for risk capital allocations based on conditional tail expectation
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+SYSTEMIC RISK: AN ASYMPTOTIC EVALUATION
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+An efficient approach to quantile capital allocation and sensitivity analysis
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@@ Property / DOI @@
+.1016/J.INSMATHECO.2022.04.009
@@ Property / DOI: 10.1016/J.INSMATHECO.2022.04.009 / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:2155852