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Looking at the tail : price-based measures of systemic importance

Chen Zhou; Tarashev, Nikola A. - In: BIS quarterly review : international banking and … (2013), pp. 47-61

Persistent link: https://www.econbiz.de/10009753817

Dependence structure of risk factors and diversification effects

Chen Zhou - In: Insurance / Mathematics & economics 46 (2010) 3, pp. 531-540

Persistent link: https://www.econbiz.de/10003981149

Why the microprudential regulation fails? : the impact on systemic risk by imposing a capital requirement

Chen Zhou - 2010

Persistent link: https://www.econbiz.de/10003989182

The impact of imposing capital requirements on systemic risk

Chen Zhou - In: Journal of financial stability 9 (2013) 3, pp. 320-329

Persistent link: https://www.econbiz.de/10010236716

Are banks too big to fail? : measuring systemic importance of financial institutions

Chen Zhou - In: International journal of central banking : IJCB 6 (2010) 4, pp. 205-250

Persistent link: https://www.econbiz.de/10008907942

Are banks too big to fail?

Chen Zhou - 2009

Persistent link: https://www.econbiz.de/10003912748

Dependence structure of risk factors and diversification effects

Chen Zhou - 2009

Persistent link: https://www.econbiz.de/10003865271

Measuring portfolio credit risk correctly : why parameter uncertainty matters

Tarashev, Nikola A. - In: Journal of banking & finance 34 (2010) 9, pp. 2065-2076

Persistent link: https://www.econbiz.de/10008732113

Strukturelle Ausfallmodelle : Lehren aus Einzelschuldnerfallen

Tarashev, Nikola A. - In: BIZ-Quartalsbericht (2005), pp. 115-126

Persistent link: https://www.econbiz.de/10003201462

Value-at-Risk Prediction Using Option-Implied Risk Measures

Schindelhauer, Kai - 2018

This paper investigates the prediction of Value-at-Risk (VaR) using option-implied information obtained by the maximum entropy method. The maximum entropy method provides an estimate of the risk-neutral distribution based on option prices. Besides commonly used implied volatility, we obtain...

Persistent link: https://www.econbiz.de/10012908438