Comparing the systemic risk of Italian insurers and banks
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More about this item
Keywords
systemic risk; value-at-risk; conditional value-at-risk; marginal expected shortfall; banks; insurers;All these keywords.
JEL classification:
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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