Probability equivalent level for CoVaR and VaR
- Ortega-Jiménez, P.
- Pellerey, F.
- Sordo, M.A.
- Suárez-Llorens, A.
Journal:
Insurance: Mathematics and Economics
ISSN: 0167-6687
Year of publication: 2024
Volume: 115
Pages: 22-35
Type: Article