Ranking Consistency of Systemic Risk Measures: A Simulation-Based Analysis in a Banking Network Model
| Autor(en): | Grundke, Peter | Stichwörter: | Computer science; Value at risk; Ranking (information retrieval); Operational risk; Systemic risk; Operational risk management; Credit risk; Econometrics; Risk management; Basel II | Erscheinungsdatum: | 2016 | Journal: | Social Science Research Network | DOI: | https://doi.org/10.2139/ssrn.2787602 |
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