SRISK: A Conditional Capital Shortfall Measure of Systemic Risk | NobleBlocks

SRISK: A Conditional Capital Shortfall Measure of Systemic Risk

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SRISK: A Conditional Capital Shortfall Measure of Systemic Risk

Published in Review of Financial Studies • Aug 6, 2016

Authors:

Christian T. Brownlees

,

Robert F. Engle

Subject

Expected shortfall

Financial crisis

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Publication Date: Aug 6, 2016 • 12:00 AM UTC

NobleID:w1/20260526/42DAB1CA

DOI:10.1093/rfs/hhw060

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