Extremes for a general contagion risk measure
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Publication:2677934
DOI10.1007/s13385-021-00301-1zbMath1505.91407OpenAlexW4205330835MaRDI QIDQ2677934
Publication date: 9 January 2023
Published in: European Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s13385-021-00301-1
Statistical methods; risk measures (91G70) Extreme value theory; extremal stochastic processes (60G70) Financial networks (including contagion, systemic risk, regulation) (91G45)
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