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How Useful is The Marginal Expected Shortfall for the Measurement of Systemic Exposure: A Practical Assessment
16 references·1 citing·50 second hopsampled
How Useful is The Marginal Expected Shortfall for the Measurement of Systemic Exposure: A Practical Assessment (2011)How Useful is The Marginal Expected Short…Macroeconomic Factors and Microlevel Bank Behavior (2014)Macroeconomic Factors and Mic…Systemic importance: some simple indicators (2011)Systemic importance: some sim…CoVaR (2011)CoVaRSRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)SRISK: A Conditional Capital …Interest rates and bank risk-taking (2010)Interest rates and bank risk-…Banking Stability Measures (2009)Banking Stability MeasuresBack to the basics in banking? A micro-analysis of banking system stability (2009)Back to the basics in banking…Banking on the principles: Compliance with Basel Core Principles and bank soundness (2008)Banking on the principles: Co…Bank Governance, Regulation, and Risk Taking (2008)Bank Governance, Regulation, …Bank governance, regulation and risk taking (2008)Bank governance, regulation a…Interest rate derivatives at commercial banks: An empirical investigation (2006)Interest rate derivatives at …Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Asymmetric Dynamics in the Co…The Theory of Bank Risk Taking and Competition Revisited (2005)The Theory of Bank Risk Takin…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Risk contributions and performance measurement (2000)Risk contributions and perfor…Threshold arch models and asymmetries in volatility (1993)Threshold arch models and asy…Conditional graphical models for systemic risk estimation (2015)Conditional graphical models …Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Another look at the instrumental variable estimation of error-components models (1995)Initial conditions and moment restrictions in dynamic panel data models (1995)Initial conditions and moment restrictions in dynamic panel data models (1998)Competition and Financial Stability in European Cooperative Banks (2013)The determinants of commercial banking profitability in low-, middle-, and high-income countries (2014)Which banks are more risky? 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References

  • 2002Dynamic Conditional Correlation7,126 cited
  • 2008Bank governance, regulation and risk taking3,267 cited
  • 2005The Theory of Bank Risk Taking and Competition Revisited2,097 cited
  • 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,775 cited
  • 2009Back to the basics in banking? A micro-analysis of banking system stability662 cited
  • 2010SRISK: A Conditional Capital Shortfall Measure of Systemic Risk662 cited
  • 2010Interest rates and bank risk-taking575 cited
  • 2011CoVaR546 cited
  • 1993Threshold arch models and asymmetries in volatility492 cited
  • 2008Bank Governance, Regulation, and Risk Taking337 cited
  • 2008Banking on the principles: Compliance with Basel Core Principles and bank soundness333 cited
  • 2000Risk contributions and performance measurement260 cited
  • 2006Interest rate derivatives at commercial banks: An empirical investigation220 cited
  • 2009Banking Stability Measures169 cited
  • 2014Macroeconomic Factors and Microlevel Bank Behavior107 cited
  • 2011Systemic importance: some simple indicators

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  • 2015Conditional graphical models for systemic risk estimation29 cited