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ArticleCalculating systemic risk capital: A factor model approach

Panagiotis K. Avramidis2015

Article2015

Calculating systemic risk capital: A factor model approach

Panagiotis K. Avramidis · Fotios Pasiouras

20 citations·0/0 files stored·Journal of Financial Stability

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Banking stability, regulation, efficiency Financial Risk and Volatility Modeling Credit Risk and Financial Regulations

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References

1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1999Coherent Measures of Risk 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates 2001Systemic Risk in Financial Systems 2007The t Copula and Related Copulas 2003A risk-factor model foundation for ratings-based bank capital rules 2007Measuring financial contagion: A Copula approach 2000A comparative anatomy of credit risk models

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2019Dynamic Systemic Risk: Networks in Data Science 2018Testing for the underlying dynamics of bank capital buffer and performance nexus 2018The Assessment of Systemic Risk in the Kenyan Banking Sector

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Year2015

Typearticle

Published2015-01-22

VenueJournal of Financial Stability

ISSN-L1572-3089

Languageen

Citations20

Files0 public / 0

ShelfBanking stability, regulation, efficiency

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doi10.1016/j.jfs.2015.01.003

openalex_workW2006973693

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