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
|
|---|---|
| Authors: | Cevik, Emrah Ismail ; Kenç, Turalay ; Goodell, John W. ; Gunay, Samet |
| 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 |
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