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Calculating systemic risk capital: A factor model approach
16 references·3 citing·46 second hop
Calculating systemic risk capital: A factor model approach (2015)Calculating systemic risk capital: A fact…Systemic Risk Contributions (2011)Systemic Risk ContributionsSRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)SRISK: A Conditional Capital …The t Copula and Related Copulas (2007)The t Copula and Related Copu…Measuring financial contagion: A Copula approach (2007)Measuring financial contagion…Risk Assessment for Banking Systems (2006)Risk Assessment for Banking S…Non‐parametric Estimation of Tail Dependence (2005)Non‐parametric Estimation of …Importance Sampling for Portfolio Credit Risk (2005)Importance Sampling for Portf…Valuation of a CDO and an n -th to Default CDS Without Monte Carlo Simulation (2004)Valuation of a CDO and an n -…A risk-factor model foundation for ratings-based bank capital rules (2003)A risk-factor model foundatio…Expected shortfall and beyond (2002)Expected shortfall and beyondSystemic Risk in Financial Systems (2001)Systemic Risk in Financial Sy…Sensitivity analysis of Values at Risk (2000)Sensitivity analysis of Value…A comparative anatomy of credit risk models (2000)A comparative anatomy of cred…Coherent Measures of Risk (1999)Coherent Measures of RiskON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)On the Pricing of Corporate D…Dynamic Systemic Risk: Networks in Data Science (2019)Dynamic Systemic Risk: Networ…The Assessment of Systemic Risk in the Kenyan Banking Sector (2018)The Assessment of Systemic Ri…Testing for the underlying dynamics of bank capital buffer and performance nexus (2018)Testing for the underlying dy…An Overview of Value at Risk (1997)Modelling Extremal Events (1997)Modeling and Forecasting Realized Volatility (2003)Theory of rational option pricing (2005)Lectures on Stochastic Programming (2009)Credit Risk in Private Debt Portfolios (1998)One-Factor Fallacy (1998)Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model (2004)The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications* (2005)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)Modelling of extremal events in insurance and finance (1994)An Introduction to Copulas (1999)Pair-copula constructions of multiple dependence (2007)A review of copula models for economic time series (2012)Selecting and estimating regular vine copulae and application to financial returns (2012)Mathematical Methods and Theory in Games, Programming, and Economics. (1960)Foundations for Financial Economics. (1989)Interbank Lending and Systemic Risk (1996)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Systemic Risk and Stability in Financial Networks (2015)A Climate Stress-Test of the Financial System (2016)Conditional value-at-risk for general loss distributions (2002)On the coherence of expected shortfall (2002)Market discipline, disclosure and moral hazard in banking (2006)Does Competition Reduce the Risk of Bank Failure? (2010)Securitization without risk transfer (2012)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Forecasting: theory and practice (2022)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Dynamic Conditional Correlation (2002)On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (2011)Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks (2012)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Financial Contagion (2000)Systemic Risk, Interbank Relations, and Liquidity Provision by the Central Bank (2000)Network models and financial stability (2007)Contagion in financial networks (2010)Financial Networks and Contagion (2012)The cost of capital, corporation finance and the theory of investment (2008)
this work references cited by second hop

References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*11,230 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates2,752 cited
  • 2001Systemic Risk in Financial Systems1,364 cited
  • 2007The t Copula and Related Copulas974 cited
  • 2003A risk-factor model foundation for ratings-based bank capital rules869 cited
  • 2007Measuring financial contagion: A Copula approach826 cited
  • 2000A comparative anatomy of credit risk models719 cited
  • 2006Risk Assessment for Banking Systems716 cited
  • 2010SRISK: A Conditional Capital Shortfall Measure of Systemic Risk662 cited
  • 2004Valuation of a CDO and an n -th to Default CDS Without Monte Carlo Simulation497 cited
  • 2002Expected shortfall and beyond408 cited
  • 2000Sensitivity analysis of Values at Risk400 cited
  • 2011Systemic Risk Contributions343 cited
  • 2005Non‐parametric Estimation of Tail Dependence333 cited
  • 2005Importance Sampling for Portfolio Credit Risk322 cited

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Cited by

  • 2019Dynamic Systemic Risk: Networks in Data Science19 cited
  • 2018Testing for the underlying dynamics of bank capital buffer and performance nexus16 cited
  • 2018The Assessment of Systemic Risk in the Kenyan Banking Sector15 cited