Market-implied systemic risk and shadow capital adequacy

Somnath Chatterjee and Andreas A Jobst

Year of publication:	September 2019
Authors:	Chatterjee, Somnath ; Jobst, Andreas A.
Publisher:	London : Bank of England
Subject:	Systemic risk \| contingent claims analysis \| jump diffusion \| CoVaR \| systemic expected shortfall \| conditional tail expectation \| capital adequacy \| Systemrisiko \| Risikomaß \| Risk measure \| Finanzkrise \| Financial crisis \| Basler Akkord \| Basel Accord \| Risiko \| Risk \| Bankrisiko \| Bank risk \| Optionspreistheorie \| Option pricing theory

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