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Quantifying Systemic Risk by Solutions of the Mean-Variance Risk Model

Jurczyk, Jan, Eckrot, Alexander and Morgenstern, Ingo (2016) Quantifying Systemic Risk by Solutions of the Mean-Variance Risk Model. PLoS ONE 11 (6), e0158444.

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Date of publication of this fulltext: 25 Aug 2016 08:09

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Other URL: http://journals.plos.org/plosone/article?id=10.1371%2Fjournal.pone.0158444


Abstract

The world is still recovering from the financial crisis peaking in September 2008. The triggering event was the bankruptcy of Lehman Brothers. To detect such turmoils, one can investigate the time-dependent behaviour of correlations between assets or indices. These cross-correlations have been connected to the systemic risks within markets by several studies in the aftermath of this crisis. We ...

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Item type:Article
Date:28 June 2016
Institutions:Physics > Institute of Theroretical Physics > Professor Morgenstern
Physics > Institute of Theroretical Physics > Professor Morgenstern > Group Ingo Morgenstern
Projects:Open Access Publizieren (DFG)
Identification Number:
ValueType
10.1371/journal.pone.0158444DOI
Article-ID: e0158444Other
Dewey Decimal Classification:500 Science > 530 Physics
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Yes
Item ID:34470
Owner only: item control page

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