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Conditional graphical models for systemic risk estimation
16 references·3 citing·47 second hop
Conditional graphical models for systemic risk estimation (2015)Conditional graphical models for systemic…Where the Risks Lie: A Survey on Systemic Risk (2015)Where the Risks Lie: A Survey…Graphical Network Models for International Financial Flows (2015)Graphical Network Models for …Bank Size and Systemic Risk (2014)Bank Size and Systemic RiskPredicting distress in European banks (2013)Predicting distress in Europe…Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Econometric measures of conne…Banking Stability Measures (2012)Banking Stability MeasuresBanking risk and regulation: Does one size fit all? (2011)Banking risk and regulation: …Measuring Systemic Risk (2010)Measuring Systemic RiskBanking Stability Measures (2009)Banking Stability MeasuresComparing early warning systems for banking crises (2008)Comparing early warning syste…Bank failures and bank fundamentals: A comparative analysis of Latin America and East Asia during the nineties using bank-level data (2007)Bank failures and bank fundam…Predicting Bank Failures: A Comparison of On- and Off-Site Monitoring Systems (1998)Predicting Bank Failures: A C…Managerial Applications of Neural Networks: The Case of Bank Failure Predictions (1992)Managerial Applications of Ne…A MULTIVARIATE STATISTICAL ANALYSIS OF THE CHARACTERISTICS OF PROBLEM BANKS (1975)A MULTIVARIATE STATISTICAL AN…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Predicting systemic risk in financial systems using Deep Graph Learning (2023)Predicting systemic risk in f…Predicting Risk through Artificial Intelligence Based on Machine Learning Algorithms: A Case of Pakistani Nonfinancial Firms (2022)Predicting Risk through Artif…Measuring bank contagion in Europe using binary spatial regression models (2017)Measuring bank contagion in E…Separating the likelihood and timing of bank failure (1995)Sub-debt Yield Spreads as Bank Risk Measures (2001)The Information Content of Bank Exam Ratings and Subordinated Debt Prices (2001)Do Depositors Discipline Banks and Did Government Actions During the Recent Crisis Reduce this Discipline? An International Perspective (2014)Money and Capital in Economic Development. (1974)Bank Runs, Deposit Insurance, and Liquidity (1983)The Twin Crises: The Causes of Banking and Balance-of-Payments Problems (1999)Assessing the risk of banking crises - revisited (2009)Bank regulation, property prices and early warning systems for banking crises in OECD countries (2010)The Modern Corporation and Private Property (1933)Law and Finance (1998)Effects of national culture on bank risk-taking behavior (2016)The effect of capital ratios on the risk, efficiency and profitability of banks: Evidence from OECD countries (2017)Banking stability determinants in Africa (2018)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)Forecasting with artificial neural networks: (1998)Neural network credit scoring models (2000)Application of data mining techniques in customer relationship management: A literature review and classification (2008)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)Financial Ratios As Predictors of Failure (1966)PREDICTION OF BANK FAILURES (1970)The probability of bankruptcy (1981)The Analysis and Use of Financial Ratios: A Review Article (1987)Determinants of bank efficiency during unstable macroeconomic environment: Empirical evidence from Malaysia (2008)The Limits of Arbitrage (1995)Coherent Measures of Risk (1999)Banks’ Non-Interest Income and Systemic Risk (2012)An Overview of China's Financial System (2017)ESG investing: A chance to reduce systemic risk (2021)In Search of Distress Risk (2008)Credit Booms Gone Bust: Monetary Policy, Leverage Cycles, and Financial Crises, 1870–2008 (2012)Business models and bank performance: A long-term perspective (2015)Capital and liquidity ratios and financial distress. Evidence from the European banking industry (2016)Identifying excessive credit growth and leverage (2017)A NEW MEASURE OF RANK CORRELATION (1938)Asset pricing and the bid-ask spread (1986)Liquidity Risk and Expected Stock Returns (2003)CoVaR (2016)Measuring Systemic Risk (2016)SRISK: A conditional capital shortfall measure of systemic risk (2017)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Common risk factors in the returns on stocks and bonds (1993)
this work references cited by second hop

References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors2,527 cited
  • 1992Managerial Applications of Neural Networks: The Case of Bank Failure Predictions1,121 cited
  • 2015Where the Risks Lie: A Survey on Systemic Risk688 cited
  • 1975A MULTIVARIATE STATISTICAL ANALYSIS OF THE CHARACTERISTICS OF PROBLEM BANKS485 cited
  • 2008Comparing early warning systems for banking crises459 cited
  • 2013Predicting distress in European banks312 cited
  • 2011Banking risk and regulation: Does one size fit all?292 cited
  • 1998Predicting Bank Failures: A Comparison of On- and Off-Site Monitoring Systems277 cited
  • 2007Bank failures and bank fundamentals: A comparative analysis of Latin America and East Asia during the nineties using bank-level data242 cited
  • 2012Banking Stability Measures195 cited
  • 2010Measuring Systemic Risk170 cited
  • 2009Banking Stability Measures169 cited
  • 2014Bank Size and Systemic Risk144 cited

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  • 2015Graphical Network Models for International Financial Flows135 cited
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    • 2023Predicting systemic risk in financial systems using Deep Graph Learning26 cited
    • 2017Measuring bank contagion in Europe using binary spatial regression models25 cited
    • 2022Predicting Risk through Artificial Intelligence Based on Machine Learning Algorithms: A Case of Pakistani Nonfinancial Firms18 cited