A Bayesian Entropy Approach to Sectoral Systemic Risk Modeling

We investigate the dynamics of systemic risk of European companies using an approach that merges paradigmatic risk measures such as Marginal Expected Shortfall, CoVaR, and Delta CoVaR, with a Bayesian entropy estimation method. Our purpose is to bring to light potential spillover effects of the entr...

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Detalles Bibliográficos
Autores principales: Lupu, Radu, Călin, Adrian Cantemir, Zeldea, Cristina Georgiana, Lupu, Iulia
Formato: Online Artículo Texto
Lenguaje:English
Publicado: MDPI 2020
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7762051/
https://www.ncbi.nlm.nih.gov/pubmed/33279916
http://dx.doi.org/10.3390/e22121371

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7762051/
https://www.ncbi.nlm.nih.gov/pubmed/33279916
http://dx.doi.org/10.3390/e22121371

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