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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...
| Autores principales: | , , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Public Library of Science
2022
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| Materias: | |
| 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 |