most citedSensitivity of the Eisenberg-Noe clearing vector to individual interbank liabilities

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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)…