Monte Carlo estimation of CoVaR (Q7035355)
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scientific article; zbMATH DE number 7976701
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Monte Carlo estimation of CoVaR |
scientific article; zbMATH DE number 7976701 |
Statements
Monte Carlo estimation of CoVaR (English)
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30 January 2025
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systemic risk
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CoVaR
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Monte Carlo simulation
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batching
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delta-gamma approximation
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importance sampling
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statistical analysis
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