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Three regime bivariate normal distribution : a new estimation method for co-value-at-risk, CoVaR
Choi, Ji-Eun; Shin, Dong-wan - In: The European journal of finance 25 (2019) 18, pp. 1817-1833
Persistent link: https://www.econbiz.de/10012207151
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Local currency systemic risk
Borri, Nicola - In: Emerging markets review 34 (2018), pp. 111-123
Persistent link: https://www.econbiz.de/10012114686
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Systemic risk-sharing framework of cryptocurrencies in the COVID-19 crisis
Akhtaruzzaman, Md.; Boubaker, Sabri; Nguyen, Duc Khuong; … - In: Finance research letters 47 (2022) 2, pp. 1-6
Persistent link: https://www.econbiz.de/10013553894
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Models of financial stability and their application in stress tests
Aymanns, Christoph; Farmer, J. Doyne; Kleinnijenhuis, … - 2017
systemic risk, including models for the three main channels of contagion: counterparty loss, overlapping portfolios and funding … channels of contagion, models with learning and limited deductive reasoning that can survive the Lucas critique, and practical …
Persistent link: https://www.econbiz.de/10011906282
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Stress tests as a systemic risk assessment tool
Demekas, Dimitri G. - In: Journal of risk management in financial institutions 10 (2016/2017) 1, pp. 36-44
Persistent link: https://www.econbiz.de/10011670638
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Reverse stress testing : scenario design for macroprudential stress tests
Baes, Michel; Schaanning, Eric - In: Mathematical finance : an international journal of … 33 (2023) 2, pp. 209-256
Persistent link: https://www.econbiz.de/10014278668
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Chapter 6. Models of Financial Stability and Their Application in Stress Tests
Aymanns, Christoph; Farmer, J. Doyne; Kleinnijenhuis, … - In: Handbook of computational economics : Volume 4: …, (pp. 329-391). 2018
, including models for the three main channels of contagion: counterparty loss, overlapping portfolios, and funding liquidity. We … of contagion, models with learning and limited deductive reasoning that can survive the Lucas critique, and practical …
Persistent link: https://www.econbiz.de/10014024350
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What do central counterparty default funds really cover? : a network-based stress test answer
Poce, Giulia; Cimini, Giulio; Gabrielli, Andrea; … - In: The journal of network theory in finance 4 (2018) 4, pp. 42-57
Persistent link: https://www.econbiz.de/10012005467
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Measuring and stress-testing market-implied bank capital
Indergand, Martin; Jondeau, Eric; Fuster, Andreas - 2022
Persistent link: https://www.econbiz.de/10012815680
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Measuring and stress-testing market-implied bank capital
Indergand, Martin; Jondeau, Eric; Fuster, Andreas - 2022
We propose a methodology for measuring the market-implied capital of banks by subtracting from the market value of equity (market capitalization) a credit-spread-based correction for the value of shareholders' default option. We show that without such a correction, the estimated impact of a...
Persistent link: https://www.econbiz.de/10013168743