Measuring and Analysing Marginal Systemic Risk Contribution using CoVaR: A Copula Approach

Typ

Diskussionspapier von Prof. Dr. Manfred-Erich Jäger-Ambrozewicz

Zitation

Hakwa, Brice; Jäger-Ambrożewicz, Manfred-Erich; Rüdiger, Barbara : Measuring and Analysing Marginal Systemic Risk Contribution using CoVaR: A Copula Approach, Ithaca, 2012

Homepage

http://arxiv.org/abs/1210.4713