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Systemic risk in the insurance sector : a review of current assessment approaches
Jobst, Andreas A. - In: The Geneva papers on risk and insurance - issues and … 39 (2014) 3, pp. 440-470
Persistent link: https://www.econbiz.de/10010502945
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Market-implied systemic risk and shadow capital adequacy
Chatterjee, Somnath; Jobst, Andreas A. - 2019
Persistent link: https://www.econbiz.de/10012202397
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Sovereign risk in macroprudential solvency stress testing
Jobst, Andreas A.; Oura, Hiroko - 2019
This paper explains the treatment of sovereign risk in macroprudential solvency stress testing, based on the experiences in the Financial Sector Assessment Program (FSAP). We discuss four essential steps in assessing the system-wide impact of sovereign risk: scope, loss estimation, shock...
Persistent link: https://www.econbiz.de/10012154975
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Modelling systemic financial sector and sovereign risk
Gray, Dale; Jobst, Andreas A. - In: Sveriges Riksbank economic review (2011) 2, pp. 68-106
Persistent link: https://www.econbiz.de/10012168577
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How to stop a herd of running bears? : market response to policy initiatives during the global financial crisis
Aït-Sahalia, Yacine; Andritzky, Jochen; Jobst, Andreas A. - 2009
Persistent link: https://www.econbiz.de/10003901616
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New directions in financial sector and sovereign risk management
Gray, Dale; Jobst, Andreas A. - In: Journal of investment management : JOIM 8 (2010) 1, pp. 23-38
Persistent link: https://www.econbiz.de/10003966806
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Multivariate depencence of implied volatilities from equity options as measure of systemic risk
Jobst, Andreas A. - In: International review of financial analysis 28 (2013), pp. 112-129
Persistent link: https://www.econbiz.de/10009762689
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Market response to policy initiatives during the global financial crisis
Aït-Sahalia, Yacine; Andritzky, Jochen; Jobst, Andreas A. - In: Journal of international economics 87 (2012) 1, pp. 162-177
Persistent link: https://www.econbiz.de/10010220099
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Market response to policy initiatives during the global financial crisis
Aït-Sahalia, Yacine; Andritzky, Jochen; Jobst, Andreas A. - 2010
Persistent link: https://www.econbiz.de/10003951825
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Measuring systemic risk-adjusted liquidity (SRL) : a model approach
Jobst, Andreas A. - In: Journal of banking & finance 45 (2014), pp. 270-287
Persistent link: https://www.econbiz.de/10010467904