11590 11 77805 2 214812 document 77805 Systemic Risk Pre Print.pdf application/pdf 7316826b96453ee82f399273d54d092f MD5 230627 2017-05-30 13:23:35 https://pure.iiasa.ac.at/id/eprint/11590/1/Systemic%20Risk%20Pre%20Print.pdf 11590 1 1 application/pdf text en public cc_by

Systemic Risk Pre Print.pdf

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http://eprints.org/relation/isVersionOf https://pure.iiasa.ac.at/id/document/77805 http://eprints.org/relation/isVolatileVersionOf https://pure.iiasa.ac.at/id/document/77805 http://eprints.org/relation/issmallThumbnailVersionOf https://pure.iiasa.ac.at/id/document/77805 77810 1 214819 document 77810 indexcodes.txt text/x-c++ 97b13344e095ad8d29f4a999d016aafd MD5 8995 2017-05-30 13:24:08 https://pure.iiasa.ac.at/id/eprint/11590/6/indexcodes.txt 11590 6 6 text/x-c++ other Generate index codes conversion from text to indexcodes en public

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http://eprints.org/relation/isVersionOf https://pure.iiasa.ac.at/id/document/77805 http://eprints.org/relation/isVolatileVersionOf https://pure.iiasa.ac.at/id/document/77805 http://eprints.org/relation/isIndexCodesVersionOf https://pure.iiasa.ac.at/id/document/77805 archive 351 disk0/00/01/15/90 2016-01-15 08:53:52 2021-08-27 17:25:20 2016-01-15 08:53:52 book_section show Kovacevic R.M. Pflug G. 1361 0000-0001-8215-3550 pub iis_rsp prog_risk prog_rpv copula function; marginal distributions; interrelational matrix; conditional value at risk banking stability index; copula models; conditional distress probability; loss cascade The financial crisis of 2007-2008 has demonstrated that factors for financial distress of large parts of the economy depend to a large extent on the interrelations between the financial institutions. Risks threatening the financial sector can be decomposed into risks based in the individual factors for single institutions and risks which can be attributed to the financial system as a whole. This part of the risks is called systemic risk. We review several approaches for quantifying systemic risk, most of them based on structural credit modeling. In particular, we present an approach that is inspired by the fact that the joint probability distributions can be represented by their individual marginals and the copula function, which represents the interrelations. 2015-05 published John Wiley & Sons 10.1002/9781119080305.ch1 XC-15-017 In: C Zopounidis and G. Galariotis (Eds.); Quantitative Financial Risk Management: Theory and Practice; John Wiley & Sons, Inc, Hoboken, NJ, USA pp.1-21 (May 2015) [ISBN: 9781118738184] [doi:10.1002/9781119080305] 229 public Hoboken, NJ, USA 1-21 TRUE 9781118738184 Quantitative Financial Risk Management: Theory and Practice Zopounidis C (Eds.) G. Galariotis FALSE info:eu-repo/semantics/bookPart