Dynamic Value-at-Risk
نویسنده
چکیده
منابع مشابه
Investigating the Correlation of Selected Banks with Dynamic Conditional Correlation (DCC) Model and Identifying Systemically Important Banks with Conditional Value at Risk and Shapley Value Method
Systemic risk arises from simultaneous movement or correlations between market segments; Thus, systemic risk occurs when there is a high correlation between the risks and crises of different market segments or institutions operating in the economy, or when the risks of different segments in a market segment or a country are related to other segments and other countries. This paper presents a me...
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