Lining Yu

Humboldt University of Berlin

Unter den Linden 6

Berlin, AK Berlin 10099

Germany

SCHOLARLY PAPERS

2

DOWNLOADS

213

SSRN CITATIONS

6

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

FRM: A Financial Risk Meter Based on Penalizing Tail Events Occurrence

SFB 649 Discussion Paper 2017-003
Number of pages: 42 Posted: 17 Feb 2017 Last Revised: 20 Feb 2017
Humboldt University of Berlin, Humboldt University of Berlin - Institute for Statistics and Econometrics, Humboldt University of Berlin and Humboldt University of Berlin
Downloads 112 (256,987)

Abstract:

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Systemic Risk, Quantile Regression, Value at Risk, Lasso, Parallel Computing

2.

TENET: Tail-Event Driven NETwork Risk

Number of pages: 40 Posted: 24 Jul 2015 Last Revised: 06 Jun 2016
Humboldt University of Berlin - Institute for Statistics and Econometrics, Humboldt University of Berlin and Humboldt University of Berlin
Downloads 101 (276,195)
Citation 6

Abstract:

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Systemic Risk, Systemic Risk Network, Generalized Quantile, Quantile Single-Index Regression, Value at Risk, CoVaR, Lasso