2 papers
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
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…