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Heterogeneous market structure and systemic risk : evidence from dual banking systems

Abedifar, Pejman; Giudici, Paolo; Hashem, Shatha Qamhieh - In: Journal of financial stability 33 (2017), pp. 96-119

Persistent link: https://www.econbiz.de/10011877718

Measuring systemic risk : common factor exposures and tail dependence effects

Chiu, Wan-Chien; Peña Sánchez de Rivera, Juan Ignacio; … - In: European financial management : the journal of the … 21 (2015) 5, pp. 833-866

Persistent link: https://www.econbiz.de/10011408533

Assessing systemic risk of Islamic banks during the COVID-19 pandemic crisis

Fatnassi, Ibrahim; Hammami, Yacine - In: Applied economics letters 31 (2024) 11, pp. 1037-1044

Persistent link: https://www.econbiz.de/10014557987

On fairness of systemic risk measures

Biagini, Francesca; Fouque, Jean-Pierre; Frittelli, Marco; … - In: Finance and stochastics 24 (2020) 2, pp. 513-564

Persistent link: https://www.econbiz.de/10012253395

Strongly consistent multivariate conditional risk measures

Hoffmann, Hannes; Meyer-Brandis, Thilo; Svindland, Gregor - In: Mathematics and financial economics 12 (2018) 3, pp. 413-444

Persistent link: https://www.econbiz.de/10011963870

Conditional risk measures in a bipartite market structure

Kley, Oliver; Klüppelberg, Claudia; Reinert, Gesine - In: Scandinavian actuarial journal (2018) 4, pp. 328-355

Persistent link: https://www.econbiz.de/10011881106

Systemic Risk Contribution in Islamic Equity Markets : CoVaR Based Model

Braiek, Sana - 2018

The main challenge by the study of systemic risk is the measurement of contagion that enables the impact of external …

Persistent link: https://www.econbiz.de/10012930465

Financial econometrics and systemic risk

Eratalay, M. Hakan - In: Handbook of research on emerging theories, models, and …, (pp. 65-91). 2021

In this chapter, some of the many prominent and recent papers in the systemic risk literature are reviewed. In all these papers, financial econometrics methods are used whether to extract the connections between institutions or assets by analyzing the related data or to construct a measure of...

Persistent link: https://www.econbiz.de/10012604203

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