| 来源类型 | Article |
| 规范类型 | 其他 |
| DOI | 10.1007/s10100-018-0525-z |
| Systemic risk and copula models. | |
| Pflug G; Pichler A | |
| 发表日期 | 2018 |
| 出处 | Central European Journal of Operations Research 26 (2): 465-483 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | Systemic risk describes the phenomenon that dependency adds a specific component of risk to a system or network of (financial) institutions as a whole, which would not be present if the institutions were independent from each other. This paper introduces the concept of systemic risk measures. We describe and study its behavior as a function of the copula, which represents the loss variables of the institutions in the network. Further, we define stochastic order relations on copulas and relate them with systemic risk measures. |
| 主题 | Risk & ; Resilience (RISK) |
| 关键词 | Risk measures Convex order relations Stochastic dominance Copula |
| URL | http://pure.iiasa.ac.at/id/eprint/15121/ |
| 来源智库 | International Institute for Applied Systems Analysis (Austria) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/131453 |
| 推荐引用方式 GB/T 7714 | Pflug G,Pichler A. Systemic risk and copula models.. 2018. |
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