On dependence consistency of CoVaR and some other systemic risk measures (Q5402790)
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scientific article; zbMATH DE number 6270580
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| English | On dependence consistency of CoVaR and some other systemic risk measures |
scientific article; zbMATH DE number 6270580 |
Statements
On dependence consistency of CoVaRand some other systemic risk measures (English)
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17 March 2014
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systemic risk measures
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conditional value-at-risk (CoVaR)
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risk spillover
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dependence consistency
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stochastic ordering
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0.8552684187889099
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0.84816974401474
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0.8461815714836121
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0.8162177801132202
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0.8156293630599976
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