2 citations · 4 across the 5 of their papers we have counts for
5 papers
On Vulnerability Conditional Risk Measures: Comparisons and Applications in Cryptocurrency Market
Tong Pu, Yunran Wei, Yiying Zhang
We introduce a novel class of systemic risk measures, the Vulnerability Conditional risk measures, which try to capture the "tail risk" of a risky position in scenarios where one o…
On multivariate contribution measures of systemic risk with applications in cryptocurrency market
Limin Wen, Junxue Li, Tong Pu +1
Conditional risk measures and their associated risk contribution measures are commonly employed in finance and actuarial science for evaluating systemic risk and quantifying the ef…
On Joint Marginal Expected Shortfall and Associated Contribution Risk Measures
Tong Pu, Yifei Zhang, Yiying Zhang
Systemic risk is the risk that a company- or industry-level risk could trigger a huge collapse of another or even the whole institution. Various systemic risk measures have been pr…
An Identity for Expectations and Characteristic Function of Matrix Variate Skew-normalDistribution with Applications to Associated Stochastic Orderings
Tong Pu, Narayanaswamy Balakrishnan, Chuancun Yin
We establish an identity for E f (Y) -E f (X), when X and Y both have matrix variateskew-normal distributions and the function f fulfills some weak conditions. Thecharacteristic fu…
Generalized Location-Scale Mixtures of Elliptical Distributions: Definitions and Stochastic Comparisons
Tong Pu, Yiying Zhang, Chuancun Yin
This paper proposes a unified class of generalized location-scale mixture of multivariate elliptical distributions and studies integral stochastic orderings of random vectors follo…