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厦门大学 [6]
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Systemically important financial institutions in China: from view of tail risk spillover network
期刊论文
APPLIED ECONOMICS LETTERS, 2021, 页码: 7
作者:
Yang, Xin
;
Chen, Shan
;
Liu, Zhifeng
;
Yang, Xiaoguang
;
Huang, Chuangxia
收藏
  |  
浏览/下载:57/0
  |  
提交时间:2021/10/26
Financial institution
tail risk spillover network
panel data regression model
systemic risk
complex network
Expected Utility Maximization with Stochastic Dominance Constraints in Complete Markets
期刊论文
SIAM JOURNAL ON FINANCIAL MATHEMATICS, 2021, 卷号: 12, 期号: 3, 页码: 1054-1111
作者:
Wang, Xiangyu
;
Xia, Jianming
收藏
  |  
浏览/下载:4/0
  |  
提交时间:2022/04/02
expected utility maximization
stochastic dominance
tail risk management
risk sharing
quantile formulation
ASYMPTOTICS FOR A BIDIMENSIONAL RISK MODEL WITH TWO GEOMETRIC LEVY PRICE PROCESSES
期刊论文
JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION, 2019, 卷号: 15, 页码: 481-505
作者:
Yang, Yang
;
Wang, Kaiyong
;
Liu, Jiajun
;
Zhang, Zhimin
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  |  
浏览/下载:10/0
  |  
提交时间:2019/11/19
infinite-time and finite-time ruin probabilities
consistently varying tail
dependence
geometric Levy price process
bidimensional risk model
Asymptotics
dominatedly varying tail
long tail
Uniform asymptotics for discounted aggregate claims in dependent multi-risk model
期刊论文
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2019, 卷号: 48, 页码: 781-793
作者:
Lu, Dawei
;
Song, Lixin
;
Li, Fuqi
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  |  
浏览/下载:5/0
  |  
提交时间:2019/12/02
Consistently varying tail
Dependence
Discounted aggregate claims
Levy process
Multi-risk model
Uniformity
Dynamic expected shortfall: A spectral decomposition of tail risk across time horizons
期刊论文
Journal of Economic Dynamics and Control, 2019, 卷号: 108
作者:
Bu D.
;
Liao Y.
;
Shi J.
;
Peng H.
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  |  
浏览/下载:5/0
  |  
提交时间:2019/12/11
Expected shortfall
Financial institution
Tail risk
Time horizon
Wavelet analysis
Copulas-Based Drought Characteristics Analysis and Risk Assessment across the Loess Plateau of China
期刊论文
WATER RESOURCES MANAGEMENT, 2018, 卷号: 32, 期号: 2
作者:
She, Dunxian
;
Xia, Jun
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  |  
浏览/下载:4/0
  |  
提交时间:2019/12/05
Drought
Copula function
Tail dependence
Loess plateau
Drought risk
National elections and tail risk: International evidence
期刊论文
JOURNAL OF BANKING & FINANCE, 2018, 卷号: 88
作者:
Li, Qingyuan
;
Li, Si
;
Xu, Li
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  |  
浏览/下载:3/0
  |  
提交时间:2019/12/05
Political uncertainty
Tail risk
National elections
Political
Risk
Return skewness
Crash risk
Uniform asymptotics for finite-time ruin probability of a bidimensional risk model
期刊论文
JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 2018, 卷号: Vol.469 No.2, 页码: 525-536
作者:
Chen, Yang
;
Yang, Yang
;
Jiang, Tao
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  |  
浏览/下载:3/0
  |  
提交时间:2019/12/26
Bidimensional
risk
model
Finite-time
ruin
probability
Uniform
asymptotics
Upper
tail
asymptotical
independence
Positively
quadrant
dependence
Tail Dependence in Copper Future Prices Based on a Conditional Multivariate Extreme Value Model
会议论文
PROCEEDINGS OF THE 9TH (2017) INTERNATIONAL CONFERENCE ON FINANCIAL RISK AND CORPORATE FINANCE MANAGEMENT, 2017-01-01
作者:
Guo Ming
;
Qin Xuezhi
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  |  
浏览/下载:3/0
  |  
提交时间:2019/12/02
Multivariate extreme value theory
tail dependence
risk spillover effect
不同市场状态下尾部风险和收益率的关系研究
学位论文
2016, 2016
黄友逵
收藏
  |  
浏览/下载:8/0
  |  
提交时间:2017/06/20
尾部风险
风险收益关系
Markov 区制转换
Tail Risk
Risk-return Trade-off
Markov Regime Switching
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