Static marginal expected shortfall: Systemic risk measurement under dependence uncertainty

Insurance Mathematics and Economics 2026 Open access

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Authors: Jinghui Chen, Edward Furman, Xiaodong Sheldon Lin

DOI: 10.1016/j.insmatheco.2026.103285

Cited by: 0

References: 67

Fields of Study & Subjects

Insurance and Financial Risk Management Risk and Portfolio Optimization Credit Risk and Financial Regulations

References 67