Contagion-based distortion risk measures (Q2345103)

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Contagion-based distortion risk measures
scientific article

    Statements

    title
    Contagion-based distortion risk measures (English)
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    author
    Umberto Cherubini
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    Sabrina Mulinacci
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    publication date
    19 May 2015
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    zbMATH Keywords
    distortion measure
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    copula functions
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    systemic risk
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    contagion
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    Identifiers

    Mathematics Subject Classification ID
    91B30
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    62P05
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    62H05
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    91G40
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    zbMATH DE Number
    6436778
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