On joint marginal expected shortfall and associated contribution risk measures

IF 1.5 4区经济学 Q3 BUSINESS, FINANCE

Quantitative Finance Pub Date : 2024-07-04 DOI:10.1080/14697688.2024.2366963

Tong Pu, Yifei Zhang, Yiying Zhang

引用次数: 0

Abstract

Systemic risk is the risk that a company- or industry-level risk could trigger a huge collapse of another or even the whole institution. Various systemic risk measures have been proposed in the lit...

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关于联合边际预期短缺和相关会费风险措施

系统性风险是指公司或行业层面的风险可能引发另一个甚至整个机构的巨大崩溃。目前已提出了各种系统性风险衡量标准。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Quantitative Finance 社会科学-数学跨学科应用

CiteScore

3.20

自引率

7.70%

发文量

102

审稿时长

4-8 weeks

期刊介绍： The frontiers of finance are shifting rapidly, driven in part by the increasing use of quantitative methods in the field. Quantitative Finance welcomes original research articles that reflect the dynamism of this area. The journal provides an interdisciplinary forum for presenting both theoretical and empirical approaches and offers rapid publication of original new work with high standards of quality. The readership is broad, embracing researchers and practitioners across a range of specialisms and within a variety of organizations. All articles should aim to be of interest to this broad readership.