Enhancing banking systemic risk indicators by incorporating volatility clustering, variance risk premiums, and considering distance-to-capital
Emrah Ismail Cevik, Turalay Kenc, John W. Goodell, Samet Gunay
| Year of publication: |
2025
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|---|---|
| Authors: | Cevik, Emrah Ismail ; Kenç, Turalay ; Goodell, John W. ; Gunay, Samet |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier Science, ISSN 1059-0560, ZDB-ID 2026509-8. - Vol. 97.2025, Art.-No. 103779, p. 1-23
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| Subject: | Distance-to-Capital | Expected shortfall | Systemic risk | Variance risk premiums | Volatility clustering | Volatilität | Volatility | Risikoprämie | Risk premium | Systemrisiko | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Finanzmarkt | Financial market | Bankrisiko | Bank risk | Börsenkurs | Share price | Finanzkrise | Financial crisis | Prognoseverfahren | Forecasting model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2024.103779 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015327028