Systematic extreme potential gain and loss spillover across countries

This paper investigates the existence of systematic extreme risks at a multi-country level that leads to gains and losses spillover. A measure of systematic risk that quantifies both the downside risk and the upside potential in the extreme is introduced. This measure is based on the Conditional-Val...

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Veröffentlicht in:	Risk management (Leicestershire, England) England), 2022-12, Vol.24 (4), p.327-366
Hauptverfasser:	Bouaddi, Mohammed, Moutanabbir, Khouzeima
Format:	Artikel
Sprache:	eng
Schlagworte:	Asset allocation Asymmetry Contagion Economics and Finance Finance Financial institutions International markets Original Original Article Risk Risk Management Securities markets
Online-Zugang:	Volltext
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