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Anglický jazyk
The models of measure of systemic risk
Autor: Abdelkader Derbali
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... Viac o knihe
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O knihe
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.
- Vydavateľstvo: LAP LAMBERT Academic Publishing
- Rok vydania: 2017
- Formát: Paperback
- Rozmer: 220 x 150 mm
- Jazyk: Anglický jazyk
- ISBN: 9783330015678
