Probability equivalent level for CoVaR and VaR

Author:

Ortega-Jiménez PatriciaORCID,Pellerey Franco,Sordo Miguel A.,Suárez-Llorens Alfonso

Funder

Universidad de Cádiz

Ministerio de Economía y Competitividad

Junta de Andalucía

Istituto Nazionale di Alta Matematica Francesco Severi

FRS-FNRS

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference55 articles.

1. Measuring systemic risk;Acharya;The Review of Financial Studies,2017

2. A theory of systemic risk and design of prudential bank regulation;Acharya;Journal of Financial Stability,2009

3. CoVaR;Adrian;American Economic Review,2016

4. Conformal Invariants, Inequalities and Quasiconformal maps;Anderson,1997

5. Multivariate dispersion order and the notion of copula applied to the multivariate t-distribution;Arias-Nicolás;Probability in the Engineering and Informational Sciences,2005

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