Systemic Risk: CoVaR, Comovement, and Portfolio Selection
Liang Peng (Georgia State University, United States)
- Erasmus Econometric Institute Series
Liang Peng (Georgia State University, United States)
Marvin N. Wright (Leibniz Institute for Prevention Research and Epidemiology and University of Bremen, Germany)
Xavier Martin (Tilburg University)
Ben Matthies (University of Notre Dam, United States)
Chiara Campana
Niklas Bonnmann
Jefferson Duarte (Rice University, United States)
Jonas Arias (Federal Reserve Bank of Philadelphia, United States)
Ben McCartney (University of Virginia, United States)
Bonsoo Koo (Monash University, Australia)
André B.M. Souza (ESADE Business School, Spain)
Johannes Schmidt-Hieber (University of Twente)
Yang Song (University of Washington, United States)
Vladislav Morozov (University of Bonn, Germany)
Fabian Mies (TU Delft)
Vincent Maurin (HEC Paris, France)
Wei Li (Vrije Universiteit Amsterdam)
Chantal Schouwenaar, Jack Fitzgerald
Andrei Zeleneev (University College London, United Kingdom)
Emanuele Colonnelli (The University of Chicago, United States)