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Statistical Assessments of Systemic Risk Measures
Bernard, Carole - 2012
In this paper we review existing statistical measures for systemic risk and discuss their strengths and weaknesses …. Among them we discuss the Conditional Value-at-Risk (CoVaR) introduced by Adrian and Brunnermeier (2010) and the Systemic … Expected Shortfall (SES) of Acharya, Pedersen, Philippon and Richardson (2011). Systemic risk is also highly related to …
Persistent link: https://www.econbiz.de/10013106671
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What kind of systemic risks do we face in the European banking sector? : the approach of CoVaR measure
Karkowska, Renata - In: Folia oeconomica Stetinensia : FOS 14 (2014) 2, pp. 114-139
Persistent link: https://www.econbiz.de/10011419194
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Measuring systemic risk in the European banking sector : a copula CoVaR approach
Karimalis, Emmanouil N.; Nomikos, Nikos K. - In: The European journal of finance 24 (2018) 10/12, pp. 944-975
Persistent link: https://www.econbiz.de/10012244423
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Vulnerable growth in the euro area : measuring the financial conditions
Figueres, Juan Manuel; Jarociński, Marek - 2020
This paper examines which measures of financial conditions are informative about the tail risks to output growth in the euro area. The Composite Indicator of Systemic Stress (CISS) is more informative than indicators focusing on narrower segments of financial markets or their simple aggregation...
Persistent link: https://www.econbiz.de/10012262990
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Networks and market-based measures of systemic risk : the European banking system in the aftermath of the financial crisis
Clemente, Gian Paolo; Grassi, Rosanna; Pederzoli, Chiara - In: Journal of economic interaction and coordination 15 (2020) 1, pp. 159-181
Persistent link: https://www.econbiz.de/10012226909
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Vulnerable growth in the euro area : measuring the financial conditions
Figueres, Juan Manuel; Jarociński, Marek - In: Economics letters 191 (2020), pp. 1-5
Persistent link: https://www.econbiz.de/10012508532
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Too-systemic-to-fail : empirical comparison of systemic risk measures in the Eurozone financial system
Armanious, Amir - In: Journal of financial stability 73 (2024), pp. 1-48
Persistent link: https://www.econbiz.de/10015083444
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ECB communication sentiments: how do they relate to the economic environment and financial markets?
Kaminskas, Rokas; Jurkšas, Linas - 2023
Persistent link: https://www.econbiz.de/10014251122
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Modeling and Measuring Systemic Risk
Brunnermeier, Markus K.; Hansen, Lars Peter; Kashyap, … - 2011
An important challenge worthy of NSF support is to quantify systemic financial risk. There are at least three major … components to this challenge: modeling, measurement, and data accessibility. Progress on this challenge will require extending …
Persistent link: https://www.econbiz.de/10014179907