- EAN13
- 9783330015678
- ISBN
- 978-3-330-01567-8
- Éditeur
- Scholars' Press
- Date de publication
- 09/2018
- Collection
- OMN.SCHOLARS PR
- Nombre de pages
- 56
- Dimensions
- 22,9 x 15,2 x 0,3 cm
- Poids
- 97 g
- Langue
- français
- Fiches UNIMARC
- S'identifier
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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.
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