摘要 : We propose a new methodology based on copula functions to estimate CoVaR, the Value-at-Risk (VaR) of the financial system conditional on an institution being under financial distress. Our Copula CoVaR approach provides simple, clo... 展开
作者 | Karimalis~ Emmanouil N. Nomikos~ Nikos K. |
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作者单位 | |
期刊名称 | 《The European journal of finance》 |
页码/总页数 | 944-975 / 32 |
语种 | 英语 |
关键词 | Systemic risk European banking risk spillovers value-at-risk copulas |
DOI | 10.1080/1351847X.2017.1366350 |
馆藏号 | F-399 |