Measuring systemic risk: A risk management approach
نویسندگان
چکیده
منابع مشابه
Measuring systemic risk
The role of systemic risk in the recent crisis and the failure of current risk measurement and management methods to cope with it bring under question some of the premises underlying traditional approaches to risk measurement of portfolios. We first outline some of the shortcomings associated with distributionbased (law-invariant) risk measures and explain why risk measurement and regulation ba...
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ژورنال
عنوان ژورنال: Journal of Banking & Finance
سال: 2005
ISSN: 0378-4266
DOI: 10.1016/j.jbankfin.2004.09.007