Measuring systemic risk in the financial institution via dynamic conditional correlation and delta conditional value at risk mode and bank rating
Systematic risk (in economics often called aggregate risk or undiversifiable risk) is vulnerability to events which affect aggregate outcomes such as broad market returns, total economy-wide resource holdings, or aggregate income. In many contexts, events like earthquakes and major weather catastrop...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | fas |
| Published: |
University of Isfahan
2019-12-01
|
| Series: | Journal of Asset Management and Financing |
| Subjects: | |
| Online Access: | https://amf.ui.ac.ir/article_23292_e2607b774f69c3e167f85af8f7a97aa4.pdf |