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Risk-consistent conditional systemic risk measures · Study

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ArticleRisk-consistent conditional systemic risk measures

Hannes Hoffmann2016

OA

Articlebronze2016

Risk-consistent conditional systemic risk measures

Hannes Hoffmann · Thilo Meyer‐Brandis · Gregor Svindland

36 citations·0/0 files stored·Stochastic Processes and their Applications

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Risk and Portfolio Optimization Financial Risk and Volatility Modeling Probability and Risk Models

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References

1999Continuous Martingales and Brownian Motion 2001Systemic Risk in Financial Systems 2002Stochastic Finance: An Introduction in Discrete Time 2012A Survey of Systemic Risk Analytics 2005Measuring systemic risk: A risk management approach 2013Network Structure and Systemic Risk in Banking Systems 2005Conditional and dynamic convex risk measures 2004Stochastic finance. an introduction in discrete time

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Year2016

Typearticle

Published2016-01-21

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations36

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/j.spa.2016.01.002

openalex_workW2185872883

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