Quantifying systemic risk: conditional interval risk measures and their applications
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Cites work
- An efficient approach to quantile capital allocation and sensitivity analysis
- Asymptotics for systemic risk with dependent heavy-tailed losses
- Asymptotics for the joint tail probability of bidimensional randomly weighted sums with applications to insurance
- Avoiding zero probability events when computing value at risk contributions
- Characterization of stochastic orders by \(L\)-functionals
- Characterizations of classes of risk measures by dispersive orders
- Coherent measures of risk
- Comparison of risks based on the expected proportional shortfall
- Comparisons of aggregate claim numbers and amounts: a study of heterogeneity
- Measures of systemic risk
- On dependence consistency of CoVaR and some other systemic risk measures
- On joint marginal expected shortfall and associated contribution risk measures
- On the increasing convex order of generalized aggregation of dependent random variables
- On the worst and least possible asymptotic dependence
- Stochastic orders
- Stochastic orders and co-risk measures under positive dependence
- Stochastic orders and distortion risk contribution ratio measures
- Systemic risk measurement: bucketing global systemically important banks
- Systemic risk: an asymptotic evaluation
- Systemic risk: conditional distortion risk measures
- Worst case risk measurement: back to the future?
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