Closed form solutions of measures of systemic risk

zbMATH Open1289.91079arXiv1211.4173MaRDI QIDQ5326698FDOQ5326698

Authors: Manfred Jäger-Ambrozewicz 

Publication date: 6 August 2013

Full work available at URL: https://arxiv.org/abs/1211.4173

Recommendations

• Measures of systemic risk
• Systemic risk measures
• \(S_U\)-\(\varDelta CoVaR\)
• Risk-consistent conditional systemic risk measures
• Foreword

zbMATH Keywords

value at risksystemic riskconditional value at risk

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; risk measures (91G70)

Cited In (1)

• \(S_U\)-\(\varDelta CoVaR\)

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