Stress Testing and Systemic Risk Measures Using Elliptical Conditional Multivariate Probabilities
Systemic risk, in a complex system with several interrelated variables, such as a financial market, is quantifiable from the multivariate probability distribution describing the reciprocal influence between the system’s variables. The effect of stress on the system is reflected by the change in such...
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| Format: | Article |
| Language: | English |
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MDPI AG
2021-05-01
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| Series: | Journal of Risk and Financial Management |
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| Online Access: | https://www.mdpi.com/1911-8074/14/5/213 |