Analyzing systemic risk using non-linear marginal expected shortfall and its minimum spanning tree (Q2148614)
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scientific article; zbMATH DE number 7547485
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| English | Analyzing systemic risk using non-linear marginal expected shortfall and its minimum spanning tree |
scientific article; zbMATH DE number 7547485 |
Statements
Analyzing systemic risk using non-linear marginal expected shortfall and its minimum spanning tree (English)
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24 June 2022
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systemic risk
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marginal expected shortfall
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parametric model
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non-linearity
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minimum spanning tree
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0.7385678887367249
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0.73832106590271
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0.7353166341781616
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0.7302837371826172
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0.7202092409133911
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