Multivariate Shortfall Risk Allocation and Systemic Risk (Q4635243)
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scientific article; zbMATH DE number 6860069
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Multivariate Shortfall Risk Allocation and Systemic Risk |
scientific article; zbMATH DE number 6860069 |
Statements
Multivariate Shortfall Risk Allocation and Systemic Risk (English)
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16 April 2018
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systemic risk
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risk allocation
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multivariate shortfall risk
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sensitivities
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numerical methods
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CCP
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default fund
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0.8869432
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0.8843309
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0.87110716
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0.86885166
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0.8687113
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0.86755556
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0.86549246
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0.86440825
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