An asymptotic study of systemic expected shortfall and marginal expected shortfall (Q2155852): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 06:04, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An asymptotic study of systemic expected shortfall and marginal expected shortfall |
scientific article |
Statements
An asymptotic study of systemic expected shortfall and marginal expected shortfall (English)
0 references
15 July 2022
0 references
systemic risk
0 references
heavy-tailed distributions
0 references
random weights
0 references
asymptotic independence
0 references
regular variation
0 references
