2 citations · 4 across the 5 of their papers we have counts for
Showing q-fin.RMShow all
3 papers · 1 filter
q-fin.RM2024
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…
q-fin.RM2024★ 2 cited
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…
q-fin.RM2024★ 1 cited
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…