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Acharya, Viral V.; Berner, Richard B.; Engle, Robert F.; … - In: Annual review of financial economics 15 (2023), pp. 291-326

Persistent link: https://www.econbiz.de/10014426292

Measuring systemic risk

Acharya, Viral V.; Brownlees, Christian; Engle, Robert F.; … - In: Managing and measuring risk : emerging global standards …, (pp. 65-98). 2012

Persistent link: https://www.econbiz.de/10009742628

Capital shortfall : a new approach to ranking and regulating systemic risks

Acharya, Viral V.; Engle, Robert F.; Richardson, Matthew - In: The American economic review 102 (2012) 3, pp. 59-64

Persistent link: https://www.econbiz.de/10009705301

Long-term skewness and systemic risk

Engle, Robert F. - In: Journal of financial econometrics : official journal of … 9 (2011) 3, pp. 437-468

Persistent link: https://www.econbiz.de/10009407870

How to forecast a crisis

Engle, Robert F. - In: The journal of portfolio management : a publication of … 36 (2009/10) 3, pp. 1

Persistent link: https://www.econbiz.de/10009520395

Systemic risk 10 years later

Engle, Robert F. - In: Annual review of financial economics 10 (2018), pp. 125-152

Persistent link: https://www.econbiz.de/10011959790

SRISK : A Conditional Capital Shortfall Measure of Systemic Risk

Brownlees, Christian; Engle, Robert F. - 2021

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/10013248860

SRISK : a conditional capital shortfall measure of systemic risk

Brownlees, Christian; Engle, Robert F. - 2017

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

SRISK: a conditional capital shortfall measure of systemic risk

Brownlees, Christian; Engle, Robert F. - In: The review of financial studies 30 (2017) 1, pp. 48-79

Persistent link: https://www.econbiz.de/10011738007

Systemic risk in the financial system : capital shortfalls under Brexit, the US elections and the Italian referendum

Engle, Robert F.; Zazzara, Cristiano - In: The journal of credit risk : published quarterly by … 14 (2018) 4, pp. 97-120

Persistent link: https://www.econbiz.de/10012041807