A Theoretical and Empirical Comparison of Systemic Risk Measures
Date
2014Publisher
SSRN Working Paper SeriesPublishing date
2014Collection title
SSRN Working Paper SeriesLink to item file
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1973950Dewey
Economie financièreSujet
Banking Regulation; Systemically Important Financial Firms; Marginal Expected Shortfall; SRISK; CoVaR; Systemic vs. Systematic RiskJEL code
G.G3.G32; G.G0.G01Collections
Metadata
Show full item recordAuthor
Benoit, Sylvain
163511 Laboratoire d'Economie de Dauphine [LEDa]
Colletaz, Gilbert
199945 Laboratoire d'Économie d'Orleans [LEO]
Hurlin, Christophe
199945 Laboratoire d'Économie d'Orleans [LEO]
Pérignon, Christophe
1738 Groupement de Recherche et d'Etudes en Gestion à HEC [GREGH]