Contagion-based distortion risk measures

DOI10.1016/j.aml.2013.07.007zbMath1311.91125OpenAlexW2027167065MaRDI QIDQ2345103

Sabrina Mulinacci, Umberto Cherubini

Publication date: 19 May 2015

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.aml.2013.07.007

zbMATH Keywords

contagioncopula functionssystemic riskdistortion measure

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Credit risk (91G40)

Related Items

On quantile based co-risk measures and their estimation, Marshall–Olkin Machinery and Power Mixing: The Mixed Generalized Marshall–Olkin Distribution

Cites Work

• Unnamed Item
• Unnamed Item
• An introduction to copulas.
• \textit{Within} and \textit{between} systemic country risk. Theory and evidence from the sovereign crisis in Europe
• Coherent Measures of Risk
• ONE‐PARAMETER FAMILIES OF DISTORTION RISK MEASURES
• Copulas Constructed from Horizontal Sections