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A Theoretical and Empirical Comparison of Systemic Risk Measures: MES versus CoVaR
16 references·14 citing·40 second hop
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References

  • 1999Coherent Measures of Risk8,849 cited
  • 2002Dynamic Conditional Correlation7,126 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
  • 2012Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks1,157 cited
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  • 2011Principal Components as a Measure of Systemic Risk301 cited
  • 2003Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall274 cited
  • 2014

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Systemic Risk in Europe
261 cited

Cited by

  • 2015Systemic risk of insurers around the globe85 cited
  • 2015Bank ownership, financial segments and the measurement of systemic risk: An application of CoVaR82 cited
  • 2020Systemic risk spillovers between crude oil and stock index returns of G7 economies: Conditional value-at-risk and marginal expected shortfall approaches80 cited
  • 2017Measuring systemic risk: A comparison of alternative market-based approaches72 cited
  • 2016The information in systemic risk rankings58 cited
  • 2015Are Market‐Based Measures of Global Systemic Importance of Financial Institutions Useful to Regulators and Supervisors?57 cited
  • 2020Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures56 cited
  • 2017Analysing Systemic Risk in the Chinese Banking System47 cited
  • 2013Why banks are not too big to fail - evidence from the CDS market45 cited
  • 2020Back to the future: Backtesting systemic risk measures during historical bank runs and the great depression42 cited
  • 2015Is Tail Risk Priced in Credit Default Swap Premia?36 cited
  • 2017The Impact of Central Bank Transparency on Systemic Risk. Evidence from Central and Eastern Europe35 cited
  • 2016Testing for Systemic Risk Using Stock Returns29 cited
  • 2014Are the Periods of Currency Collapse an Impediment to Entrepreneurship and Entrepreneurial Haven? Evidence from Regional Comparison12 cited