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arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,695 papers · 148 categories

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1122 · Nov 202419922001200920172026
2 results for “MCoES”
On multivariate contribution measures of systemic risk with applications in cryptocurrency marketq-fin.RM

Paper introduces contribution measures for systemic risk in crypto markets.

problem Evaluating systemic risk and quantifying risk interactions in cryptocurrency markets.
method Develops various contribution ratio measures based on MCoVaR, MCoES, and MMME.
result Establishes sufficient conditions for comparing contribution measures between sets of random vectors.
systemic riskcryptocurrencycontribution measuresMCoVaRMCoES
2024-11-20abs ↗pdf ↗
On Vulnerability Conditional Risk Measures: Comparisons and Applications in Cryptocurrency Marketq-fin.RM

New risk measures assess cryptocurrency market vulnerabilities during financial distress.

problem Capturing systemic risk in cryptocurrency markets during financial distress.
method Introducing Vulnerability Conditional Risk Measures (VCoES) and related measures.
result Validated theoretical insights and demonstrated practical relevance in cryptocurrency market.
cryptocurrencysystemic riskfinancial distressrisk measuresVulnerability Conditional Risk Measures (VCoES)
2024-11-14abs ↗pdf ↗