Conditional generalized quantiles as systemic risk measures: properties, estimation, and application
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conditional expectileconditional quantileconditional value-at-riskMonte Carlo simulationmultivariate copulastatistical robustness
Nonparametric regression and quantile regression (62G08) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial networks (including contagion, systemic risk, regulation) (91G45) Statistical methods; risk measures (91G70)
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