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Bank ownership, financial segments and the measurement of systemic risk: An application of CoVaR
16 references·16 citing·39 second hopsampled
Bank ownership, financial segments and the measurement of systemic risk: An application of CoVaR (2015)Bank ownership, financial segments and th…Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Systemic Risk Measurement: Mu…Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Econometric measures of conne…Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks (2012)Capital Shortfall: A New Appr…A Survey of Systemic Risk Analytics (2012)A Survey of Systemic Risk Ana…This time is different: eight centuries of financial folly (2010)This time is different: eight…SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)SRISK: A Conditional Capital …Consumer credit-risk models via machine-learning algorithms (2010)Consumer credit-risk models v…This Time Is Different (2009)This Time Is DifferentRestoring Financial Stability (2009)Restoring Financial StabilityDeciphering the Liquidity and Credit Crunch 2007–2008 (2009)Deciphering the Liquidity and…Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …Rethinking Bank Regulation: Till Angels Govern (2005)Rethinking Bank Regulation: T…CAViaR (2004)CAViaRValue At Risk: The New Benchmark for Managing Financial Risk (2000)Value At Risk: The New Benchm…Agency Costs, Net Worth, And Business Fluctuations (1988)Agency Costs, Net Worth, And …Financial Development and Economic Growth: Views and AgendaFinancial Development and Eco…Corporate governance and systemic risk: Evidence from Chinese-listed banks (2023)Corporate governance and syst…Systemic risk in the Chinese financial system: A panel Granger causality analysis (2022)Systemic risk in the Chinese …Measuring systemic risk contribution of global stock markets: A dynamic tail risk network approach (2022)Measuring systemic risk contr…Systemic risk contribution of banks and non-bank financial institutions across frequencies: The Australian experience (2021)Systemic risk contribution of…Risk spillover from crude oil prices to GCC stock market returns: New evidence during the COVID-19 outbreak (2021)Risk spillover from crude oil…Default clustering of the nonfinancial sector and systemic risk: Evidence from China (2021)Default clustering of the non…Contagion effect of systemic risk among industry sectors in China’s stock market (2021)Contagion effect of systemic …Connectedness and systemic risk of the banking industry along the Belt and Road (2021)Connectedness and systemic ri…Exploring the risk spillover effects between carbon market and electricity market: A bidimensional empirical mode decomposition based conditional value at risk approach (2020)Exploring the risk spillover …Bank diversification and systemic risk (2019)Bank diversification and syst…Application of systemic risk measurement methods: A systematic review and meta-analysis using a network approach (2018)Application of systemic risk …The effect of liquidity shocks on the bank lending channel: Evidence from India (2017)The effect of liquidity shock…Identifying systemic important markets from a global perspective: Using the ADCC Δ CoVaR approach with skewed-t distribution (2017)Identifying systemic importan…Effect of banking and macroeconomic variables on systemic risk: An application of ΔCOVAR for an emerging economy (2017)Effect of banking and macroec…How does banking sector globalization affect economic growth? (2016)How does banking sector globa…Advances in financial risk management and economic policy uncertainty: An overview (2015)Advances in financial risk ma…Credit Booms Gone Bust: Monetary Policy, Leverage Cycles, and Financial Crises, 1870–2008 (2012)The European Sovereign Debt Crisis (2012)Populism and the economics of globalization (2018)Systemic Banking Crises Database II (2020)Moral Hazard and Observability (1979)Optimal contracts and competitive markets with costly state verification (1979)Theory ahead of business-cycle measurement (1986)Financial Constraints Risk (2006)Estimating betas from nonsynchronous data (1977)Non-Monetary Effects of the Financial Crisis in the Propagation of the Great Depression (1983)Financial Intermediation, Loanable Funds, and The Real Sector (1997)Where the Risks Lie: A Survey on Systemic Risk (2015)Estimating global bank network connectedness (2017)Why Does Stock Market Volatility Change Over Time? (1989)Measuring and Testing the Impact of News on Volatility (1993)Evaluating Interval Forecasts (1998)GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics (2001)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)CoVaR (2016)Credit Rationing in Markets with Imperfect Information (1981)Bank Runs, Deposit Insurance, and Liquidity (1983)Continuous Auctions and Insider Trading (1985)Liquidity and leverage (2008)A NEW MEASURE OF RANK CORRELATION (1938)Asset pricing and the bid-ask spread (1986)Liquidity Risk and Expected Stock Returns (2003)Measuring Systemic Risk (2016)SRISK: A conditional capital shortfall measure of systemic risk (2017)Determinants of corporate borrowing (1977)Bank lending during the financial crisis of 2008 (2009)Backtesting Value-at-Risk: A Duration-Based Approach (2004)Is gold a safe haven or a hedge for the US dollar? Implications for risk management (2013)Machine Learning in Banking Risk Management: A Literature Review (2019)Trust and Growth (2001)Exchange Arrangements Entering the Twenty-First Century: Which Anchor will Hold?* (2019)Corporate Immunity to the COVID-19 Pandemic (2020)Financial Dependence and Growth (1996)The Financial Accelerator in a Quantitative Business Cycle Framework (1998)Finance and the sources of growth (2000)
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References

  • 2008Market Liquidity and Funding Liquidity5,007 cited
  • n.d.Financial Development and Economic Growth: Views and Agenda4,646 cited
  • 1988Agency Costs, Net Worth, And Business Fluctuations4,382 cited
  • 2009This Time Is Different3,448 cited
  • 2009Deciphering the Liquidity and Credit Crunch 2007–20083,326 cited
  • 2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors2,527 cited
  • 2000Value At Risk: The New Benchmark for Managing Financial Risk2,478 cited
  • 2004CAViaR2,210 cited
  • 2010This time is different: eight centuries of financial folly1,776 cited
  • 2012Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks1,157 cited
  • 2005Rethinking Bank Regulation: Till Angels Govern1,080 cited
  • 2010Consumer credit-risk models via machine-learning algorithms861 cited
  • 2009Restoring Financial Stability720 cited
  • 2012A Survey of Systemic Risk Analytics716 cited
  • 2010SRISK: A Conditional Capital Shortfall Measure of Systemic Risk662 cited
  • 2012Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR

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658 cited

Cited by

  • 2021Risk spillover from crude oil prices to GCC stock market returns: New evidence during the COVID-19 outbreak113 cited
  • 2020Exploring the risk spillover effects between carbon market and electricity market: A bidimensional empirical mode decomposition based conditional value at risk approach80 cited
  • 2019Bank diversification and systemic risk67 cited
  • 2016How does banking sector globalization affect economic growth?62 cited
  • 2022Systemic risk in the Chinese financial system: A panel Granger causality analysis51 cited
  • 2021Connectedness and systemic risk of the banking industry along the Belt and Road47 cited
  • 2015Advances in financial risk management and economic policy uncertainty: An overview46 cited
  • 2022Measuring systemic risk contribution of global stock markets: A dynamic tail risk network approach42 cited
  • 2017Effect of banking and macroeconomic variables on systemic risk: An application of ΔCOVAR for an emerging economy41 cited
  • 2021Systemic risk contribution of banks and non-bank financial institutions across frequencies: The Australian experience32 cited
  • 2021Contagion effect of systemic risk among industry sectors in China’s stock market30 cited
  • 2023Corporate governance and systemic risk: Evidence from Chinese-listed banks28 cited
  • 2018Application of systemic risk measurement methods: A systematic review and meta-analysis using a network approach27 cited
  • 2017Identifying systemic important markets from a global perspective: Using the ADCC Δ CoVaR approach with skewed-t distribution24 cited
  • 2017The effect of liquidity shocks on the bank lending channel: Evidence from India23 cited
  • 2021Default clustering of the nonfinancial sector and systemic risk: Evidence from China23 cited