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Measuring systemic risk of the US banking sector in time-frequency domain

Teply, Petr; Kvapilikova, Ivana - In: The North American journal of economics and finance : a … 42 (2017), pp. 461-472

Persistent link: https://www.econbiz.de/10011938177

Measuring systemic risk contribution : a higher-order moment augmented approach

Wang, Peiwen; Huang, Guanglin - In: Finance research letters 59 (2024), pp. 1-8

Persistent link: https://www.econbiz.de/10014445409

Quantifying systemic risk in US industries using neural network quantile regression

Naeem, Muhammad Abubakr; Karim, Sitara; Tiwari, Aviral Kumar - In: Research in international business and finance 61 (2022), pp. 1-14

Persistent link: https://www.econbiz.de/10014246851

A simple method for measuring systemic risk using credit default swap market data

Suh, Sangwon; Jang, Inwon; Ahn, Misun - In: Journal of economic development 38 (2013) 4, pp. 75-100

Persistent link: https://www.econbiz.de/10010231840

Systemic risk measurement : multivariate GARCH estimation of CoVaR

Girardi, Giulio; Ergün, Tolga A. - In: Journal of banking & finance 37 (2013) 8, pp. 3169-3180

Persistent link: https://www.econbiz.de/10009778470

CoCDaR and mCoCDaR : new approach for measurement of systemic risk contributions

Ding, Rui; Uryasev, Stan - In: Journal of risk and financial management : JRFM 13 (2020) 11/270, pp. 1-18

Systemic risk is the risk that the distress of one or more institutions trigger a collapse of the entire financial system. We extend CoVaR (value-at-risk conditioned on an institution) and CoCVaR (conditional value-at-risk conditioned on an institution) systemic risk contribution measures and...

Persistent link: https://www.econbiz.de/10012389811

Back to the future : backtesting systemic risk measures during historical bank runs and the great depression

Brownlees, Christian; Chabot, Ben; Ghysels, Eric; Kurz, … - In: Journal of banking & finance 113 (2020), pp. 1-20

Persistent link: https://www.econbiz.de/10012226121

The CoCVaR approach : systemic risk contribution measurement

Huang, Wei-Qiang; Uryasev, Stan - In: Journal of risk 20 (2017/2018) 4, pp. 75-93

Persistent link: https://www.econbiz.de/10011848936

A model-based index for systemic risk contribution measurement in financial networks

Deng, Yang; Zhang, Ziqing; Zhu, Li - In: Economic modelling 95 (2021), pp. 35-48

Persistent link: https://www.econbiz.de/10012695628

A new approach to measure systemic risk : a bivariate copula model for dependent censored data

Calabrese, Raffaella; Osmetti, Silvia Angela - In: European journal of operational research : EJOR 279 (2019) 3, pp. 1053-1064

Persistent link: https://www.econbiz.de/10012102835