Quantifying Systemic Risk : conditional Interval Risk Measures and Their Applications
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| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20260002033 | ||
| 003 | MAP | ||
| 005 | 20260205101746.0 | ||
| 008 | 260202e20260115bel|||p |0|||b|eng d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | $0MAPA20260001616$aWen, Limin | ||
| 245 | 1 | 0 | $aQuantifying Systemic Risk : conditional Interval Risk Measures and Their Applications$cLimin Wen, Junxue Li and Yi Zhang |
| 520 | $aThis paper introduces two systemic risk measuresCoIVaR and CoIESthat extend traditional conditional risk metrics by conditioning on quantile intervals to better capture uncertainty and contagion effects. A comprehensive theoretical framework is developed, including key properties and risk contribution measures, along with comparison results based on stochastic orders and dependence structures. Numerical experiments and stock market applications demonstrate that these interval-based measures provide robust and practical tools for assessing systemic risk in interconnected financial systems | ||
| 650 | 4 | $0MAPA20100016923$aRiesgo sistémico | |
| 650 | 4 | $0MAPA20080586447$aModelo estocástico | |
| 650 | 4 | $0MAPA20250003316$aGestión de riesgos | |
| 650 | 4 | $0MAPA20080579852$aDatos financieros | |
| 650 | 4 | $0MAPA20080602437$aMatemática del seguro | |
| 650 | 4 | $0MAPA20080579258$aCálculo actuarial | |
| 700 | 1 | $0MAPA20260001623$aLi, Junxue | |
| 700 | 1 | $0MAPA20260001630$aZhang, Yi | |
| 710 | 2 | $0MAPA20100017661$aInternational Actuarial Association | |
| 773 | 0 | $wMAP20077000420$g19/01/2026 Volume 56 Issue 1 - January 2026 , p. 181 - 205$x0515-0361$tAstin bulletin$dBelgium : ASTIN and AFIR Sections of the International Actuarial Association |