Quantifying Systemic Risk by Solutions of the Mean-Variance Risk Model
نویسندگان
چکیده
منابع مشابه
Quantifying Systemic Risk by Solutions of the Mean-Variance Risk Model
The world is still recovering from the financial crisis peaking in September 2008. The triggering event was the bankruptcy of Lehman Brothers. To detect such turmoils, one can investigate the time-dependent behaviour of correlations between assets or indices. These cross-correlations have been connected to the systemic risks within markets by several studies in the aftermath of this crisis. We ...
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ژورنال
عنوان ژورنال: PLOS ONE
سال: 2016
ISSN: 1932-6203
DOI: 10.1371/journal.pone.0158444