Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5098872 | Journal of Economic Dynamics and Control | 2010 | 17 Pages |
Abstract
Another important contribution of this work is that we can follow the evolution of certain risk measures like the expected loss or the CVaR in order to evaluate if the system is becoming more or less risky, in fact, more or less fragile. Additionally, we can decompose the distribution of losses of the whole banking system into the systemic and the contagion elements and we can determine if the system is more prone to experience contagious difficulties during a certain period of time.
Related Topics
Physical Sciences and Engineering
Mathematics
Control and Optimization
Authors
SerafÃn MartÃnez-Jaramillo, Omar Pérez Pérez, Fernando Avila Embriz, Fabrizio López Gallo Dey,