Sovereign bond-backed securities: A VAR-for-VaR and marginal expected shortfall assessment

C-Tier
Journal: Journal of Empirical Finance
Year: 2019
Volume: 53
Issue: C
Pages: 33-52

Authors (4)

De Sola Perea, Maite (not in RePEc) Dunne, Peter G. (Central Bank of Ireland) Puhl, Martin (not in RePEc) Reininger, Thomas (not in RePEc)

Score contribution per author:

0.252 = (α=2.02 / 4 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

View Full Article View on IDEAS/RePEc

Technical Details

RePEc Handle
repec:eee:empfin:v:53:y:2019:i:c:p:33-52
Journal Field
Finance
Author Count
4
Added to Database
2026-02-08