| 来源类型 | Book Section |
| DOI | 10.1002/9781119080305.ch1 |
| Measuring systemic risk: structural approaches. | |
| Kovacevic RM; Pflug G; Zopounidis, C; (Eds.), G. Galariotis | |
| 发表日期 | 2015 |
| 出处 | Quantitative Financial Risk Management: Theory and Practice. Eds. Zopounidis, C & (Eds.), G. Galariotis , pp. 1-21 Hoboken, NJ, USA: John Wiley & Sons. ISBN 9781118738184 DOI: 10.1002/9781119080305.ch1 . |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | The financial crisis of 2007-2008 has demonstrated that factors for financial distress of large parts of the economy depend to a large extent on the interrelations between the financial institutions. Risks threatening the financial sector can be decomposed into risks based in the individual factors for single institutions and risks which can be attributed to the financial system as a whole. This part of the risks is called systemic risk. We review several approaches for quantifying systemic risk, most of them based on structural credit modeling. In particular, we present an approach that is inspired by the fact that the joint probability distributions can be represented by their individual marginals and the copula function, which represents the interrelations. |
| 主题 | Risk, Policy and Vulnerability (RPV) ; Risk & ; Resilience (RISK) |
| 关键词 | copula function marginal distributions interrelational matrix conditional value at risk banking stability index copula models conditional distress probability loss cascade |
| URL | http://pure.iiasa.ac.at/id/eprint/11590/ |
| 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/134414 |
| 推荐引用方式 GB/T 7714 | Kovacevic RM,Pflug G,Zopounidis, C,et al. Measuring systemic risk: structural approaches.. 2015. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| Systemic%20Risk%20Pr（225KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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