Modifying (M)CoVaR and constructing tail risk networks through analytic higher-order moments: Evidence from the global forex markets

In a financial system, entities (e.g., companies or markets) face systemic risk that could lead to financial instability. To prevent this impact, we require quantitative systemic risk management we can carry out using conditional value-at-risk (CoVaR) and a network model. The former measures any tar...

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Detalles Bibliográficos
Autores principales: Hakim, Arief, Salman, A. N. M., Ashari, Yeva, Syuhada, Khreshna
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Public Library of Science 2022
Materias:
Research Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9707806/
https://www.ncbi.nlm.nih.gov/pubmed/36445886
http://dx.doi.org/10.1371/journal.pone.0277756

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9707806/
https://www.ncbi.nlm.nih.gov/pubmed/36445886
http://dx.doi.org/10.1371/journal.pone.0277756

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