2 papers
q-fin.MF2017
Sensitivity of the Eisenberg-Noe clearing vector to individual interbank liabilities
Zachary Feinstein, Weijie Pang, Birgit Rudloff +3
We quantify the sensitivity of the Eisenberg-Noe clearing vector to estimation errors in the bilateral liabilities of a financial system in a stylized setting. The interbank liabil…
q-fin.RM2012
On dependence consistency of CoVaR and some other systemic risk measures
Georg Mainik, Eric Schaanning
This paper is dedicated to the consistency of systemic risk measures with respect to stochastic dependence. It compares two alternative notions of Conditional Value-at-Risk (CoVaR)…