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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

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 … the vine copula and APARCH-DCC in assessing portfolio systemic risk. This advanced approach provides nuanced insights into … strengthening risk management practices. Future research could explore the sensitivity of the CoVaR to diferent weighting schemes …

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

Systemic financial sector and sovereign risks

Jin, Xisong; Nadal-De Simone, Francisco - 2017

Persistent link: https://www.econbiz.de/10011707080

Tracking changes in the intensity of financial sector's systemic risk

Jin, Xisong; Nadal-De Simone, Francisco - 2016

Persistent link: https://www.econbiz.de/10011565377

Financial networks and systemic risk vulnerabilities : a tale of Indian banks

Ahmad, Wasim; Tiwari, Shiv Ratan; Wadhwani, Akshay; … - In: Research in international business and finance 65 (2023), pp. 1-18

Persistent link: https://www.econbiz.de/10014434078

Systemic risk, contagion and risk factors in the Tunisian banking system context : measures and determinants

Chakroun, Mohamed Amin; Gallali, Mohamed Imen - In: Afro-Asian Journal of Finance and Accounting : AAJFA 14 (2024) 2, pp. 246-280

Persistent link: https://www.econbiz.de/10014545417

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

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

Basis risk, procyclicality, and systemic risk in the Solvency II equity risk module

Eling, Martin; Pankoke, David836228189 - 2013

Persistent link: https://www.econbiz.de/10010410034

Systemic risk for financial institutions of major petroleum-based economies : the role of oil

Khalifa, Ahmed; Caporin, Massimiliano; Costola, Michele; … - 2017 - This version: June 2017

This paper examines the relationship between systemic risk measures across 546 financial institutions in major … conditional VaR (CoVaR) for the financial institutions and verify the interdependence between the systemic risk and oil, both on a … improvement in the systemic risk measurement. The results provide evidence in favour of risk measurement improvements by …

Persistent link: https://www.econbiz.de/10011662132