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Paper / 2026SMQ / 154155411331068
The conditional higher moment risk measure: second-order asymptotics with FGM contagion
Bingzhen Geng / Haifan Hu / Jiajun Liu / Shijie Wang
extreme value theoryResource overview

The conditional higher moment risk measure: second-order asymptotics with FGM contagion

Paper2026

by Bingzhen Geng, Haifan Hu, Jiajun Liu, Shijie Wang

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extreme value theory

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  1. Random Variables and Distributions

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  2. Expected Shortfall and Other Tail Risk Measures

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