Search Results - subject:"component expected shortfall"

Interconnectedness and systemic risk : evidence from global stock markets

Cevik, Emrah Ismail; Terzioglu, Hande Caliskan; Kilic, Yunus - In: Research in international business and finance 69 (2024), pp. 1-21

Persistent link: https://www.econbiz.de/10015052824

A component expected shortfall approach to systemic risk : an application in the South African financial industry

Manguzvane, Mathias Mandla; Sibusiso Blessing Ngobese - In: International Journal of Financial Studies : open … 11 (2023) 4, pp. 1-14

insurers to aggregate the systemic risk of their respective industries by employing the component expected shortfall (CES). The …

Persistent link: https://www.econbiz.de/10014485398

Quantifying systemic risk in the cryptocurrency market : a sectoral analysis

Gunay, Samet; Altınkeski, Buket Kırcı; Cevik, Emrah … - In: Finance research letters 58 (2023) 3, pp. 1-8

Persistent link: https://www.econbiz.de/10015046604

Systemically important financial institutions and drivers of systemic risk : evidence from India

Narayan, Shivani; Kumar, Dilip; Bouri, Elie - In: Pacific-Basin finance journal 82 (2023), pp. 1-25

Persistent link: https://www.econbiz.de/10014463391

Identifying systemically important financial institutions in Turkey

Caliskan, Hande; Cevik, Emrah I.; Kirci C̦evik, Nüket; … - In: Research in international business and finance 56 (2021), pp. 1-15

Persistent link: https://www.econbiz.de/10013267844

Sectoral contributions to systemic risk in the Chinese stock market

Wu, Fei - In: Finance research letters 31 (2019), pp. 386-390

Persistent link: https://www.econbiz.de/10012421681

Systemically important financial institutions (SIFI) in Indonesian banking system

Husodo, Zaäfri Ananto; Wojtyla, Daniel - In: International journal of monetary economics and finance 11 (2018) 4, pp. 327-344

Persistent link: https://www.econbiz.de/10011998262

Which are the SIFIs? : a component expected shortfall approach to systemic risk

Banulescu, Georgiana-Denisa; Dumitrescu, Elena-Ivona - In: Journal of banking & finance 50 (2015), pp. 575-588

Persistent link: https://www.econbiz.de/10010510183

Which are the SIFIs? A Component Expected Shortfall approach to systemic risk

Banulescu, Georgiana-Denisa; Dumitrescu, Elena-Ivona - In: Journal of Banking & Finance 50 (2015) C, pp. 575-588

This paper proposes a component approach to systemic risk which allows to decompose the risk of the aggregate financial system (measured by Expected Shortfall) while accounting for the firm characteristics. Developed by analogy with the Component Value-at-Risk concept, our new systemic risk...

Persistent link: https://www.econbiz.de/10011118060