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Picture of The models of measure of systemic risk

The models of measure of systemic risk

Derbali Abdelkader
Publication date 01/09/2018
EAN: 9783330015678
Availability Available from publisher
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 meas... See full description
Detailed information
Attribute nameAttribute value
Common books attribute
PublisherSCHOLARS PRESS
Page Count56
Languagefr
AuthorDerbali Abdelkader
FormatPaperback / softback
Product typeBook
Publication date01/09/2018
Weight97 g
Dimensions (thickness x width x height)0.30 x 15.20 x 22.90 cm
Summary
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.