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A model-based index for systemic risk contribution measurement in financial networks

Deng, Yang; Zhang, Ziqing; Zhu, Li - In: Economic modelling 95 (2021), pp. 35-48

Persistent link: https://www.econbiz.de/10012695628

Measuring systemic risk contribution of global stock markets : a dynamic tail risk network approach

Wang, Ze; Gao, Xiangyun; Huang, Shupei; Sun, Qingru; … - In: International review of financial analysis 84 (2022), pp. 1-16

Persistent link: https://www.econbiz.de/10013472796

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

Measuring CoVaR : an empirical comparison

Bianchi, Michele Leonardo; Sorrentino, Alberto Maria - In: Computational economics 55 (2020) 2, pp. 511-528

Persistent link: https://www.econbiz.de/10012223647

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

A simple method for measuring systemic risk using credit default swap market data

Suh, Sangwon; Jang, Inwon; Ahn, Misun - In: Journal of economic development 38 (2013) 4, pp. 75-100

Persistent link: https://www.econbiz.de/10010231840

Measuring systemic risk of the Chinese banking industry : a wavelet-based quantile regression approach

Xu, Qifa; Jin, Bei; Jiang, Cuixia - In: The North American journal of economics and finance : a … 55 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10012667347

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

Measuring systemic risk in South African banks

Chatterjee, Somnath; Sing, Marea - 2021

Persistent link: https://www.econbiz.de/10012497161

Measurement of systemic risk in the Colombian banking sector

Rivera-Escobar, Orlando; Escobar, John Willmer; … - In: Risks : open access journal 10 (2022) 1, pp. 1-27

This paper uses three methodologies for measuring the existence of systemic risk in the Colombian banking system. The determination of its existence is based on implementing three systemic risk measures widely referenced in academic works after the subprime crisis, known as CoVaR, MES and SRISK....

Persistent link: https://www.econbiz.de/10012805886