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Towards a Framework for Quantifying Systemic Stability
16 references·16 citing·47 second hopsampled
Towards a Framework for Quantifying Systemic Stability (2012)Towards a Framework for Quantifying Syste…Liquidity and leverage (2008)Liquidity and leverageNew Framework for Measuring and Managing Macrofinancial Risk and Financial Stability (2007)New Framework for Measuring a…Exploring the international linkages of the euro area: a global VAR analysis (2007)Exploring the international l…Common Failings: How Corporate Defaults Are Correlated (2007)Common Failings: How Corporat…Valuation in Over-the-Counter Markets (2006)Valuation in Over-the-Counter…The Costs of Bankruptcy: Chapter 7 Liquidation versus Chapter 11 Reorganization (2006)The Costs of Bankruptcy: Chap…Risk Assessment for Banking Systems (2006)Risk Assessment for Banking S…Liquidity Risk and Contagion (2005)Liquidity Risk and ContagionFinancial Interlinkages in the United Kingdom's Interbank Market and the Risk of Contagion (2005)Financial Interlinkages in th…A model to analyse financial fragility (2005)A model to analyse financial …A comparative analysis of macro stress-testing methodologies with application to Finland (2005)A comparative analysis of mac…Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model (2004)Modeling Regional Interdepend…Liquidity and Contagion: The Crisis of 1763 (2004)Liquidity and Contagion: The …Systemic Risk in Financial Systems (2001)Systemic Risk in Financial Sy…Liquidation Values and Debt Capacity: A Market Equilibrium Approach (1992)Liquidation Values and Debt C…The Losses Realized in Bank Failures (1991)The Losses Realized in Bank F…Networks and systemic risk in the financial system (2019)Networks and systemic risk in…“Too central to fail” systemic risk measure using PageRank algorithm (2019)“Too central to fail” systemi…Extreme risk modeling: An EVT–pair-copulas approach for financial stress tests (2016)Extreme risk modeling: An EVT…Basel Committee on Banking Supervision (2016)Basel Committee on Banking Su…Simple Banking: Profitability and the Yield Curve (2014)Simple Banking: Profitability…The Structure and Resilience of the European Interbank Market (2013)The Structure and Resilience …Network Models and Systemic Risk Assessment (2013)Network Models and Systemic R…Financial Contagion and Network Analysis (2013)Financial Contagion and Netwo…Systemic Risks in Global Banking: What Available Data can tell us and What More Data are Needed? (2012)Systemic Risks in Global Bank…Network Analysis and Calibration of the 'Leveraged Network-Based Financial Accelerator' (2012)Network Analysis and Calibrat…Liquidity Risk, Cash-Flow Constraints and Systemic Feedbacks (2012)Liquidity Risk, Cash-Flow Con…An Empirical Study of the Mexican Banking System's Network and Its Implications for Systemic Risk (2012)An Empirical Study of the Mex…A Network Analysis of Global Banking:1978-2009 (2011)A Network Analysis of Global …A Network Analysis of Global Banking:1978-2009 (2011)A Network Analysis of Global …Funding Liquidity Risk in a Quantitative Model of Systemic Stability (2009)Funding Liquidity Risk in a Q…An economic capital model integrating credit and interest rate risk in the banking book (2009)An economic capital model int…Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Corporate financing and investment decisions when firms have information that investors do not have (1984)Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers (1986)The Benefits of Lending Relationships: Evidence from Small Business Data (1994)A Survey of Corporate Governance (1997)BANKRUPTCY COSTS: SOME EVIDENCE (1977)A Theory of Auctions and Competitive Bidding (1982)Limited-dependent and qualitative variables in econometrics (1983)Bank contagion: A review of the theory and evidence (1994)Cash-in-the-Market Pricing and Optimal Resolution of Bank Failures (2007)Bank valuation and accounting discretion during a financial crisis (2012)Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure (2004)General Diagnostic Tests for Cross Section Dependence in Panels (2004)Unit Roots and Cointegration in Panels (2008)Panel Vector Autoregressive Models: A Survey (2013)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)Credit Risk Modeling (2004)Stochastic Integration and Differential Equations (2005)Good and bad credit contagion: Evidence from credit default swaps☆ (2007)Frailty Correlated Default (2009)Statistical analysis of cointegration vectors (1988)Pooled Mean Group Estimation of Dynamic Heterogeneous Panels (1999)Panels with Nonstationary Multifactor Error Structures (2006)The Limits of Arbitrage (1995)The Cross‐Section of Volatility and Expected Returns (2006)Market Liquidity and Funding Liquidity (2008)Credit Spreads and Business Cycle Fluctuations (2012)Value and Momentum Everywhere (2013)CoVaR (2016)A comparative analysis of current credit risk models (2000)Systemic Risk, Interbank Relations, and Liquidity Provision by the Central Bank (2000)Assessing financial contagion in the interbank market: Maximum entropy versus observed interbank lending patterns (2010)Simulation methods to assess the danger of contagion in interbank markets (2010)How likely is contagion in financial networks? (2014)Liquidity Shortages and Banking Crises (2002)Too many to fail—An analysis of time-inconsistency in bank closure policies (2006)Network models and financial stability (2007)Where the Risks Lie: A Survey on Systemic Risk (2015)Does industry-wide distress affect defaulted firms? Evidence from creditor recoveries (2007)Ownership structure and the cost of corporate borrowing (2010)Cash Holdings and Credit Risk (2012)Contagion in financial networks (2010)Financial Networks and Contagion (2014)A Climate Stress-Test of the Financial System (2016)
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References

  • 1992Liquidation Values and Debt Capacity: A Market Equilibrium Approach2,901 cited
  • 2008Liquidity and leverage2,557 cited
  • 2004Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model1,461 cited
  • 2001Systemic Risk in Financial Systems1,364 cited
  • 2007Exploring the international linkages of the euro area: a global VAR analysis996 cited
  • 2005Liquidity Risk and Contagion879 cited
  • 2006The Costs of Bankruptcy: Chapter 7 Liquidation versus Chapter 11 Reorganization698 cited
  • 2006Risk Assessment for Banking Systems636 cited
  • 2007Common Failings: How Corporate Defaults Are Correlated583 cited
  • 1991The Losses Realized in Bank Failures416 cited
  • 2006Valuation in Over-the-Counter Markets338 cited
  • 2005A model to analyse financial fragility265 cited
  • 2007New Framework for Measuring and Managing Macrofinancial Risk and Financial Stability203 cited
  • 2005Financial Interlinkages in the United Kingdom's Interbank Market and the Risk of Contagion192 cited
  • 2004Liquidity and Contagion: The Crisis of 1763158 cited
  • 2005

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A comparative analysis of macro stress-testing methodologies with application to Finland
141 cited

Cited by

  • 2013Financial Contagion and Network Analysis96 cited
  • 2009An economic capital model integrating credit and interest rate risk in the banking book87 cited
  • 2011A Network Analysis of Global Banking:1978-200985 cited
  • 2014Simple Banking: Profitability and the Yield Curve85 cited
  • 2012Systemic Risks in Global Banking: What Available Data can tell us and What More Data are Needed?78 cited
  • 2013Network Models and Systemic Risk Assessment64 cited
  • 2013The Structure and Resilience of the European Interbank Market62 cited
  • 2019Networks and systemic risk in the financial system61 cited
  • 2009Funding Liquidity Risk in a Quantitative Model of Systemic Stability60 cited
  • 2012An Empirical Study of the Mexican Banking System's Network and Its Implications for Systemic Risk55 cited
  • 2016Extreme risk modeling: An EVT–pair-copulas approach for financial stress tests54 cited
  • 2019“Too central to fail” systemic risk measure using PageRank algorithm49 cited
  • 2011A Network Analysis of Global Banking:1978-200948 cited
  • 2012Liquidity Risk, Cash-Flow Constraints and Systemic Feedbacks48 cited
  • 2016Basel Committee on Banking Supervision40 cited
  • 2012Network Analysis and Calibration of the 'Leveraged Network-Based Financial Accelerator'38 cited