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Risk spillovers and interconnectedness between systemically important institutions

Andrieş, Alin Marius; Ongena, Steven; Sprincean, Nicu; … - 2020 - This version: May 9, 2020

In this paper we gauge the degree of interconnectedness and quantify the linkages between global and other systemically …. Other systemically important institutions bear more individual market risk. The two groups and the global financial system …

Persistent link: https://www.econbiz.de/10012219367

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

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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

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Measuring the systemic importance of Chinese banks : a comparison of different risk measurement models

Cai, Chunlin - In: The journal of risk model validation 17 (2023) 1, pp. 1-15

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Probability equivalent level for CoVaR and VaR

Ortega-Jiménez, Patricia; Pellerey, Franco; Sordo, … - In: Insurance : mathematics and economics 115 (2024), pp. 22-35

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SYSMO I : a systemic stress model for the Colombian financial system

Gamba, Santiago; Jaulín, Oscar; Lizarazo, Angélica; … - 2017

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Research on China's financial systemic risk contagion under jump and heavy-tailed risk

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Measuring systemic risk in China : a new hybrid approach incorporating ensemble learning and risk spillover networks

Huo, Da; Shi, Yongdong; Wang, Chao; Wang, Lihan; Xing, Weize - In: Pacific-Basin finance journal 91 (2025), pp. 1-19

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Systemic risk : a network approach

Hasse, Jean-Baptiste - In: Empirical economics : a quarterly journal of the … 63 (2022) 1, pp. 313-344

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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

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