Systemic Risk计算的5种VaR算法matlab代码,是发表数量经济、
风险管理、金融分析方面论文的绝好材料,具体包括
1,CoVaR (Condit
ional Value-at-Risk) proposed by Adrian
& Brunnermeier (2009);
2,ΔCoVaR (Delta
Conditional Value-at-Risk) proposed by A
drian & Brunnermeier (2009);
3,MES (Mar
ginal Expected Shortfall) proposed by Ac
harya et al. (2010);
4,Network Measures
proposed by Billio et al. (2011);
5,SR
ISK (Conditional Capital Shortfall Index
) proposed by Brownlees & Engle (2014).
SystemicRisk-master.zip (
2.33 MB, 需要
: RMB 9 元)
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