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Homeen-gbDoes the asymmetric exponential power distribution improve systemic risk measurement?The authors use a parametric estimation for CoVaR and compare the goodness-of-fit and backtesting of AEPD with other commonly used distributions using data from the Chinese banking sector from 2008-2019.
https://www.risk.net/journal-of-risk-model-validation/7956068/does-the-asymmetric-exponential-power-distribution-improve-systemic-risk-measurement
https://www.risk.net/journal-of-risk-model-validation/7956068/does-the-asymmetric-exponential-power-distribution-improve-systemic-risk-measurement
Mon, 20 Feb 2023 11:41:39 +0000