Matches in SemOpenAlex for { <https://semopenalex.org/work/W3123303479> ?p ?o ?g. }
Showing items 1 to 90 of
90
with 100 items per page.
- W3123303479 abstract "Abstract Two new indices for financial diversity are proposed. The first is aggregative and evaluates distance from a single factor driving returns. The second evaluates how fast correlation with a stock rises as the stock falls. Both measures are here risk neutral. The CRI is also compared with coVaR. These measures are negatively related and so focus attention on different aspects of systemic risk. Unlike the coVaR focused on expected losses the CRI measures the risks of increased correlation and lack of diversity in activities. The CRI also declined consistently for AIG and LEH prior to their bankruptcies indicating that the market was active in decorrelating itself from these firms." @default.
- W3123303479 created "2021-02-01" @default.
- W3123303479 creator A5003160038 @default.
- W3123303479 creator A5055008305 @default.
- W3123303479 date "2013-03-01" @default.
- W3123303479 modified "2023-09-28" @default.
- W3123303479 title "Systemic risk tradeoffs and option prices" @default.
- W3123303479 cites W1487141430 @default.
- W3123303479 cites W1727659491 @default.
- W3123303479 cites W2002530172 @default.
- W3123303479 cites W2078220623 @default.
- W3123303479 cites W2097439762 @default.
- W3123303479 cites W2099862112 @default.
- W3123303479 cites W2109784406 @default.
- W3123303479 cites W2111648184 @default.
- W3123303479 cites W2145497682 @default.
- W3123303479 cites W2149923050 @default.
- W3123303479 cites W3121630491 @default.
- W3123303479 cites W3121637421 @default.
- W3123303479 cites W3121841769 @default.
- W3123303479 cites W3123641801 @default.
- W3123303479 cites W3123785437 @default.
- W3123303479 cites W3124189322 @default.
- W3123303479 cites W3124510696 @default.
- W3123303479 cites W3124655095 @default.
- W3123303479 cites W3125559026 @default.
- W3123303479 cites W3125638283 @default.
- W3123303479 cites W2460041617 @default.
- W3123303479 doi "https://doi.org/10.1016/j.insmatheco.2012.12.003" @default.
- W3123303479 hasPublicationYear "2013" @default.
- W3123303479 type Work @default.
- W3123303479 sameAs 3123303479 @default.
- W3123303479 citedByCount "5" @default.
- W3123303479 countsByYear W31233034792015 @default.
- W3123303479 countsByYear W31233034792016 @default.
- W3123303479 countsByYear W31233034792017 @default.
- W3123303479 crossrefType "journal-article" @default.
- W3123303479 hasAuthorship W3123303479A5003160038 @default.
- W3123303479 hasAuthorship W3123303479A5055008305 @default.
- W3123303479 hasConcept C139719470 @default.
- W3123303479 hasConcept C144024400 @default.
- W3123303479 hasConcept C144133560 @default.
- W3123303479 hasConcept C144587487 @default.
- W3123303479 hasConcept C149782125 @default.
- W3123303479 hasConcept C162324750 @default.
- W3123303479 hasConcept C166957645 @default.
- W3123303479 hasConcept C19165224 @default.
- W3123303479 hasConcept C204036174 @default.
- W3123303479 hasConcept C205649164 @default.
- W3123303479 hasConcept C2778300220 @default.
- W3123303479 hasConcept C2781316041 @default.
- W3123303479 hasConceptScore W3123303479C139719470 @default.
- W3123303479 hasConceptScore W3123303479C144024400 @default.
- W3123303479 hasConceptScore W3123303479C144133560 @default.
- W3123303479 hasConceptScore W3123303479C144587487 @default.
- W3123303479 hasConceptScore W3123303479C149782125 @default.
- W3123303479 hasConceptScore W3123303479C162324750 @default.
- W3123303479 hasConceptScore W3123303479C166957645 @default.
- W3123303479 hasConceptScore W3123303479C19165224 @default.
- W3123303479 hasConceptScore W3123303479C204036174 @default.
- W3123303479 hasConceptScore W3123303479C205649164 @default.
- W3123303479 hasConceptScore W3123303479C2778300220 @default.
- W3123303479 hasConceptScore W3123303479C2781316041 @default.
- W3123303479 hasLocation W31233034791 @default.
- W3123303479 hasOpenAccess W3123303479 @default.
- W3123303479 hasPrimaryLocation W31233034791 @default.
- W3123303479 hasRelatedWork W1520046581 @default.
- W3123303479 hasRelatedWork W1600351257 @default.
- W3123303479 hasRelatedWork W1603384326 @default.
- W3123303479 hasRelatedWork W1985373395 @default.
- W3123303479 hasRelatedWork W2106702415 @default.
- W3123303479 hasRelatedWork W2172856473 @default.
- W3123303479 hasRelatedWork W2379838943 @default.
- W3123303479 hasRelatedWork W2603619126 @default.
- W3123303479 hasRelatedWork W2739166770 @default.
- W3123303479 hasRelatedWork W2753565475 @default.
- W3123303479 hasRelatedWork W2782304494 @default.
- W3123303479 hasRelatedWork W2801241962 @default.
- W3123303479 hasRelatedWork W2947685554 @default.
- W3123303479 hasRelatedWork W3011304618 @default.
- W3123303479 hasRelatedWork W3121637421 @default.
- W3123303479 hasRelatedWork W3121848793 @default.
- W3123303479 hasRelatedWork W3122506872 @default.
- W3123303479 hasRelatedWork W3123157768 @default.
- W3123303479 hasRelatedWork W3126013087 @default.
- W3123303479 hasRelatedWork W3163505752 @default.
- W3123303479 isParatext "false" @default.
- W3123303479 isRetracted "false" @default.
- W3123303479 magId "3123303479" @default.
- W3123303479 workType "article" @default.