Chenghao Xu
University of Electronic Science and Technology of China
University of Electronic Science and Technology of China
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Articles by Chenghao Xu
Asymptotic behavior of systemic risk based on the higher-moment capital allocation
The authors derive asymptotic formulas for systemic expected shortfall and marginal expected shortfall based on higher-moment capital allocation rules and show that systemic risk is asymptotically proportional to value-at-risk.