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Chen, Chen; Iyengar, Garud; Moallemi, Ciamac C. - In: Management science : journal of the Institute for … 59 (2013) 6, pp. 1373-1388

Persistent link: https://www.econbiz.de/10009777035

Backtesting marginal expected shortfall and related systemic risk measures

Banulescu-Radu, Denisa; Hurlin, Christophe; Leymarie, … - In: Management science : journal of the Institute for … 67 (2021) 9, pp. 5730-5754

Persistent link: https://www.econbiz.de/10012650157

Systemic risk measures : the simpler the better?

Rodríguez-Moreno, María; Peña Sánchez de Rivera, … - In: Journal of banking & finance 37 (2013) 6, pp. 1817-1831

Persistent link: https://www.econbiz.de/10009741912

On the network topology of variance decompositions : measuring the connectedness of financial firms

Diebold, Francis X.; Yılmaz, Kamil - In: Journal of econometrics 182 (2014) 1, pp. 119-134

Persistent link: https://www.econbiz.de/10010497110

Bank ownership, financial segments and the measurement of systemic risk : an application of CoVaR

Drakos, Anastassios A.; Kouretas, Georgios P. - In: International review of economics & finance : IREF 40 (2015), pp. 127-140

Persistent link: https://www.econbiz.de/10011573568

Testing for systemic risk using stock returns

Kupiec, Paul H.; Güntay, Levent - In: Journal of financial services research : JFSR 49 (2016) 2/3, pp. 203-227

Persistent link: https://www.econbiz.de/10011592075

Measuring systemic risk : a comparison of alternative market-based approaches

Kleinow, Jacob; Moreira, Fernando; Strobl, Sascha; … - In: Finance research letters 21 (2017), pp. 40-46

Persistent link: https://www.econbiz.de/10011807485

Nonparametric factor analytic risk measurement in common stocks in financial firms : evidence from Korean firms

Baek, Seungho; Cursio, Joseph D.; Cha, Seung Y. - In: Asia-Pacific journal of financial studies 44 (2015) 4, pp. 497-536

Persistent link: https://www.econbiz.de/10011470947

Assessing portfolio vulnerability to systemic risk : a vine copula and APARCH-DCC approach

Mba, Jules Clement - In: Financial innovation : FIN 10 (2024), pp. 1-36

This study evaluates the sensitivity and robustness of the systemic risk measure, Conditional Value-at-Risk (CoVaR), estimated using the vine copula and APARCH-DCC models. We compute the CoVaR for the two portfolios across fve allocation strategies. The novel vine copula captures the complex...

Persistent link: https://www.econbiz.de/10014532413

Dual representations for systemic risk measures

Ararat, Çağın; Rudloff, Birgit - In: Mathematics and financial economics 14 (2020) 1, pp. 139-174

Persistent link: https://www.econbiz.de/10012239989