An asymptotic study of systemic expected shortfall and marginal expected shortfall (Q2155852): Difference between revisions
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Latest revision as of 06:50, 17 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An asymptotic study of systemic expected shortfall and marginal expected shortfall |
scientific article |
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An asymptotic study of systemic expected shortfall and marginal expected shortfall (English)
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15 July 2022
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systemic risk
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heavy-tailed distributions
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random weights
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asymptotic independence
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regular variation
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