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Estimation of Insolvency Probability Under Systemic Risk |
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PP: 1551-1562 |
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doi:10.18576/jsap/130510
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Author(s) |
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Georgios C. Zachos,
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Abstract |
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| This paper is devoted to the estimation of the insolvency probability. In addition we utilize dependence models that evaluate Systemic Risk (SR), as we contribute by proposing Euler contributions of risk in an environment that is regulated by a risk measure. Moreover the framework we are utilizing assumes that a component of the environment is in distress. Finally, we calculate the Insolvency Probability due to Systemic Risk and we suggest certain distribution classes under which our results are valid. |
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