Portfolio Vulnerability to Systemic Risk: Vine Copula and APARCH-DCC Approach
Vine Copula and APARCH-DCC Approach: The study assesses the sensitivity and robustness of the Conditional Value-at-Risk (CoVaR) systemic risk measure, finding that CoVaR estimates vary with portfolio strategy and are especially high for cryptocurrency portfolios.
Featured in No. 35 on 30 Jan 2024 · on release day
- Released
- 30 Jan 2024
- First featured
- No. 35 · 30 Jan 2024
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- Not yet, as far as Semantic Scholar knows
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- Identifier
- RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00559-2
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