1. Ouvrages de documentation

EAN13
9783330015678
Éditeur
Scholars' Press
Date de publication
1 septembre 2018
Collection
OMN.SCHOLARS PR
Nombre de pages
56
Dimensions
22,9 x 15,2 x 0,3 cm
Poids
97 g
Langue
fre

The Models Of Measure Of Systemic Risk

Abdelkader Derbali

Scholars' Press

Prix public : 35,90 €

In this book, we presented the four systemic risk measures developed in the financial literature. These measures are expected marginal loss (Marginal Expected Shortfall: MES) and the expected systemic loss (Systemic Expected Shortfall: SES), the measurement of systemic risk (SRISK) and Delta Conditional Value-at-Risk ( CoVaR). From the theoretical development of these models, we presented a synthesis of specific features of each measure. This synthesis has enabled us to develop a common framework to measure systemic risk. We showed theoretically, most of the variability of these three systemic measures can be obtained by measuring the market risk and the company's characteristics.
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