Measuring Systemic Risk Using Multivariate Quantile-Located ES Models
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More about this item
Keywords
: expectiles; expected shortfall; CARE models; forecasting; systemic risk;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
Statistics
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