S_U- CoVaR

DOI10.1016/J.ECONLET.2011.12.002zbMATH Open1241.62144OpenAlexW3135956697MaRDI QIDQ433176FDOQ433176

Authors: Pilsun Choi, Insik Min, Keehwan Park 

Publication date: 13 July 2012

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2011.12.002

Recommendations

• On multivariate extensions of the conditional value-at-risk measure
• On dependence consistency of CoVaR and some other systemic risk measures
• Closed form solutions of measures of systemic risk
• Assessment of systemic risk in the Polish banking industry
• On quantile based co-risk measures and their estimation

zbMATH Keywords

systemic risk\(S_U\)-normal distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cites Work

• SYSTEMS OF FREQUENCY CURVES GENERATED BY METHODS OF TRANSLATION

Cited In (4)

• Closed form solutions of measures of systemic risk
• Assessment of systemic risk in the Polish banking industry
• Measuring systemic risk with CoVaR using a stock market data based approach
• On multivariate extensions of the conditional value-at-risk measure

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