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Analyzing systemic risk using non-linear marginal expected shortfall and its minimum spanning tree
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Song, JaeWook
; Ko, Bonggyun; Chang, Woojin
Article
Issue Date
2018
Citation
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, v.491, pp.289 - 304
Publisher
ELSEVIER SCIENCE BV
1
Discover
Author
Chang, Woojin
1
Song, Jae Wook
1
Subject
CAPITAL SHORTFALL
1
CRISIS
1
FINANCIAL-MARKETS
1
HIERARCHICAL STRUCTURE
1
MODELS
1
RETURNS
1
STOCK-MARKET
1
Systemic riskMarginal expected sh...
1
TOPOLOGY
1
Date Issued
2018
1
Type
Article
1
Language
English
1
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scopus
1
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