Beschreibung
Produktdetails
Einband
Taschenbuch
Erscheinungsdatum
09.01.2017
Verlag
LAP LAMBERT Academic PublishingSeitenzahl
56
Maße (L/B/H)
22/15/0.4 cm
Gewicht
102 g
Sprache
Englisch
ISBN
978-3-330-01567-8
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). From the theoretical development of these models, we presented a synthesis of specific features of each measure. This synthesis has enabled us to develop a common framework to measure systemic risk. We showed theoretically, most of the variability of these three systemic measures can be obtained by measuring the market risk and the company's characteristics.
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