Measuring systemic risk. A probabilistic perspective (Q2077752)
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scientific article; zbMATH DE number 7477914
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| English | Measuring systemic risk. A probabilistic perspective |
scientific article; zbMATH DE number 7477914 |
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Measuring systemic risk. A probabilistic perspective (English)
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21 February 2022
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The book is oriented rather on practitioners than mathematicians. It provides a new way of measuring systemic risk contributions -- not in terms of historical losses but in terms of conditional probabilities of default, which are estimated on the base of credit default swaps (CDS) quotations. The special attention is paid to the relation between the risk of default of sovereigns and the risk of default of banking institutions.
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financial risk
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systemic risk
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probability of default
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CDS
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0.7861971259117126
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0.7660616636276245
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0.7603079080581665
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0.759806215763092
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