Search Results - subject:"Marginal expected shortfall"

Comparing the systemic risk of Italian insurers and banks

Bianchi, Michele Leonardo; Pallante, Federica - 2025

Persistent link: https://www.econbiz.de/10015408590

The nonlinear effects of banks' vulnerability to capital depletion in euro area countries

Davidson, Sharada Nia; Moccero, Diego Nicolas - 2024

When capital in the banking system becomes depleted, the degree to which financial intermediation and the macroeconomy are adversely affected is likely to depend on the financial and macroeconomic environment. However, existing studies either assume that the effects of bank capital shocks are...

Persistent link: https://www.econbiz.de/10014543638

The nonlinear effects of banks' vulnerability to capital depletion in euro area countries

Davidson, Sharada Nia; Moccero, Diego Nicolas - 2024

Persistent link: https://www.econbiz.de/10014490448

Covid-19 pandemic and the banking risk mitigation : a lesson from the Indonesian credit restructuring policy

Nurdany, Achmad; Al-Banna, Hasan; Wijayanti, Dwi Marlina; … - In: Iranian economic review : journal of University of Tehran 27 (2023) 4, pp. 1341-1360

Persistent link: https://www.econbiz.de/10015401857

Systemic risk : a comparative study between public and private banks

Mselmi, Aymen; Mahmoud, Imen - In: International journal of economics and financial issues … 13 (2023) 3, pp. 117-125

Persistent link: https://www.econbiz.de/10014288652

Calibrating the magnitude of the countercyclical capital buffer using market-based stress tests

Oordt, Maarten R. C. van - In: Journal of money, credit and banking : JMCB 55 (2023) 2/3, pp. 465-501

Persistent link: https://www.econbiz.de/10014305980

Measuring systemic risk in China : a new hybrid approach incorporating ensemble learning and risk spillover networks

Huo, Da; Shi, Yongdong; Wang, Chao; Wang, Lihan; Xing, Weize - In: Pacific-Basin finance journal 91 (2025), pp. 1-19

Persistent link: https://www.econbiz.de/10015405089

Systemic risk, contagion and risk factors in the Tunisian banking system context : measures and determinants

Chakroun, Mohamed Amin; Gallali, Mohamed Imen - In: Afro-Asian Journal of Finance and Accounting : AAJFA 14 (2024) 2, pp. 246-280

Persistent link: https://www.econbiz.de/10014545417

Assessing systemic risk of Islamic banks during the COVID-19 pandemic crisis

Fatnassi, Ibrahim; Hammami, Yacine - In: Applied economics letters 31 (2024) 11, pp. 1037-1044

Persistent link: https://www.econbiz.de/10014557987

On joint marginal expected shortfall and associated contribution risk measures

Pu, Tong; Zhang, Yifei; Zhang, Yiying - In: Quantitative finance 24 (2024) 7, pp. 889-908

Persistent link: https://www.econbiz.de/10015050804

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