Search Results - subject:"Systemic Risk Measurement"

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Systemic risk: An overview

Zeldea, Cristina Georgiana - In: Financial Studies 23 (2019) 3 (85), pp. 35-48

producing comprehensive models. However,systemic risk measurement and mitigation remain open issues. …

Persistent link: https://www.econbiz.de/10012484786

Systemic risk: an overview

Zeldea, Cristina Georgiana - In: Financial studies 23 (2019) 3, pp. 35-48

producing comprehensive models. However,systemic risk measurement and mitigation remain open issues. …

Persistent link: https://www.econbiz.de/10012146184

Application of systemic risk measurement methods : a systematic review and meta-analysis using a network approach

Dičpinigaitienė, Viktorija; Novickytė, Lina - In: Quantitative finance and economics 2 (2018) 4, pp. 798-820

Persistent link: https://www.econbiz.de/10012176096

SRISK: a conditional capital shortfall measure of systemic risk

Brownlees, Christian; Engle, Robert F. - 2017

We introduce SRISK to measure the systemic risk contribution of a financial firm. SRISK measures the capital shortfall of a firm conditional on a severe market decline, and is a function of its size, leverage and risk. We use the measure to study top US financial institutions in the recent...

Persistent link: https://www.econbiz.de/10011984820

SRISK : a conditional capital shortfall measure of systemic risk

Brownlees, Christian; Engle, Robert F. - 2017

Persistent link: https://www.econbiz.de/10011975954