The models of measure of systemic risk

Éditeur: Scholars' Press
201856 pagesISBN 9783330015678
Format: BrochéLangue : Français
In this book, we presented the four systemic risk measures developed in the financial literature. These measures are expected marginal loss (Marginal Expected Shortfall: MES) and the expected systemic loss (Systemic Expected Shortfall: SES), the measurement of systemic risk (SRISK) and Delta Conditional Value-at-Risk ( CoVaR)...
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