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On dependence consistency of CoVaR and some other systemic risk;measures
dependence consistency of CoVaR some other systemic risk measures
2012/9/14
This paper is dedicated to the consistency of systemic risk mea-sures with respect to stochastic dependence. It compares two alter-native notions of Conditional Value-at-Risk (CoVaR) available in the ...
Systemic Risk in a Unifying Framework for Cascading Processes on Networks
Systemic Risk Unifying Framework Networks
2010/11/1
We introduce a general framework for models of cascade and contagion processes on networks, to identify their commonalities and differences. In particular, models of social and financial cascades, as ...