[1] |
Adrian T, Brunnermeier M K. CoVaR. American Economic Review, 2016, 106(7): 1705-1741.
|
[2] |
Girardi G, Ergün A T. Systemic risk measurement: Multivariate GARCH estimation of CoVaR. Journal of Banking & Finance,2013, 37(8): 3169-3180.
|
[3] |
Huang W Q, Uryasev S. The CoCVaR approach: Systemic risk contribution measurement. Journal of Risk, 2018, 20(4): 75-93.
|
[4] |
Brownlees C, Engle R F. SRISK: A conditional capital shortfall measure of systemic risk. The Review of Financial Studies, 2017, 30(1): 48-79.
|
[5] |
Acharya V V, Pedersen L H, Philippon T, et al. Measuring systemic risk. The Review of Financial Studies, 2017, 30(1): 2-47.
|
[6] |
Bellini F, Klar B, Müller A, et al. Generalized quantiles as risk measures. Insurance: Mathematics and Economics, 2014, 54: 41-48.
|
[7] |
Newey W K, Powell J L. Asymmetric least squares estimation and testing. Econometrica: Journal of the Econometric Society, 1987, 55(4): 819-847.
|
[8] |
Föllmer H, Schied A. Stochastic Finance: An Introduction in Discrete Time. Fourth edition. Berlin: Walter de Gruyter, 2016.
|
[9] |
Rockafellar R T, Royset J O, Miranda S I. Superquantile regression withapplications to buffered reliability, uncertainty quantification, and conditional value-at-risk. European Journal of Operational Research, 2014, 234(1): 140-154.
|
[10] |
Rockafellar R T, Uryasev S. The fundamental risk quadrangle in risk management, optimization and statistical estimation. Surveys in Operations Research and Management Science, 2013, 18(1-2): 33-53.
|
[1] |
Adrian T, Brunnermeier M K. CoVaR. American Economic Review, 2016, 106(7): 1705-1741.
|
[2] |
Girardi G, Ergün A T. Systemic risk measurement: Multivariate GARCH estimation of CoVaR. Journal of Banking & Finance,2013, 37(8): 3169-3180.
|
[3] |
Huang W Q, Uryasev S. The CoCVaR approach: Systemic risk contribution measurement. Journal of Risk, 2018, 20(4): 75-93.
|
[4] |
Brownlees C, Engle R F. SRISK: A conditional capital shortfall measure of systemic risk. The Review of Financial Studies, 2017, 30(1): 48-79.
|
[5] |
Acharya V V, Pedersen L H, Philippon T, et al. Measuring systemic risk. The Review of Financial Studies, 2017, 30(1): 2-47.
|
[6] |
Bellini F, Klar B, Müller A, et al. Generalized quantiles as risk measures. Insurance: Mathematics and Economics, 2014, 54: 41-48.
|
[7] |
Newey W K, Powell J L. Asymmetric least squares estimation and testing. Econometrica: Journal of the Econometric Society, 1987, 55(4): 819-847.
|
[8] |
Föllmer H, Schied A. Stochastic Finance: An Introduction in Discrete Time. Fourth edition. Berlin: Walter de Gruyter, 2016.
|
[9] |
Rockafellar R T, Royset J O, Miranda S I. Superquantile regression withapplications to buffered reliability, uncertainty quantification, and conditional value-at-risk. European Journal of Operational Research, 2014, 234(1): 140-154.
|
[10] |
Rockafellar R T, Uryasev S. The fundamental risk quadrangle in risk management, optimization and statistical estimation. Surveys in Operations Research and Management Science, 2013, 18(1-2): 33-53.
|