articleSSRN Electronic JournalJan 1, 2011GREEN OA

Volatility, Correlation and Tails for Systemic Risk Measurement

CTChristian T. BrownleesRFRobert F. Engle

Pompeu Fabra University · New York University · +1 more institution

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Abstract

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696
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70
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Authors

2

Topics & keywords

Topics
Keywords
  • Systemic risk
  • Volatility (finance)
  • Financial crisis
  • Systematic risk
  • Leverage (statistics)
  • Economics
  • Tail risk
  • Financial distress
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