Which are the SIFIs? A Component Expected Shortfall approach to systemic risk
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- Georgiana-Denisa Banulescu & Elena Ivona Dumitrescu, 2015. "Which Are the SIFIs? A Component Expected Shortfall Approach to Systemic Risk," Post-Print hal-01385923, HAL.
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More about this item
KeywordsSystemic risk; Component Expected Shortfall; Marginal Expected Shortfall; Forecasting;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G01 - Financial Economics - - General - - - Financial Crises
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
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