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Stress scenario selection by empirical likelihood
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Stress scenario selection by empirical likelihood (2014)Stress scenario selection by empirical li…Systemic Risk Contributions (2011)Systemic Risk ContributionsMeasuring Systemic Risk (2010)Measuring Systemic RiskStress-testing the Banking System (2009)Stress-testing the Banking Sy…Macroprudential Supervision of Financial Institutions: Lessons from the SCAP (2009)Macroprudential Supervision o…CoVaR (2008)CoVaROn the controversy over tailweight of distributions (2004)On the controversy over tailw…Tail dependence for elliptically contoured distributions (2002)Tail dependence for elliptica…The risk sensitivity of capital requirements: evidence from an international sample of large banks (2018)The risk sensitivity of capit…Stress Testing Banks: Whence and Whither? (2016)Stress Testing Banks: Whence …Nonparametric Tail Risk, Stock Returns and the Macroeconomy (2016)Nonparametric Tail Risk, Stoc…Stress for Success: A Review of Timothy Geithner's Financial Crisis Memoir (2015)Stress for Success: A Review …Stress Scenario Selection by Empirical Likelihood (2012)Stress Scenario Selection by …Modelling Extremal Events (1997)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)A Jump-Diffusion Model for Option Pricing (2002)What Is a Good External Risk Measure: Bridging the Gaps between Robustness, Subadditivity, and Insurance Risk Measures (2007)Pricing double-barrier options under a flexible jump diffusion model (2009)On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles (2018)Extreme Values, Regular Variation and Point Processes (1987)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Multivariate conditional versions of Spearman's rho and related measures of tail dependence (2006)On the construction of copulas and quasi-copulas with given diagonal sections (2007)Orthant tail dependence of multivariate extreme value distributions (2008)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Size Anomalies in U.S. Bank Stock Returns (2014)The multi-layer network nature of systemic risk and its implications for the costs of financial crises (2015)MACHINE LEARNING METHODS FOR SYSTEMIC RISK ANALYSIS IN FINANCIAL SECTORS (2019)Chapter 4 Forecast Combinations (2006)Restoring Financial Stability (2009)The fundamental principles of financial regulation (2009)The Information Value of the Stress Test and Bank Opacity (2010)Stressed Out: Macroprudential Principles for Stress Testing (2012)Stress-testing US bank holding companies: A dynamic panel quantile regression approach (2014)Lombard Street: A Description of the Money Market (1873)Organizational Culture and Leadership (1986)Corporate culture and economic theory (1990)How Did Pre-Fed Banking Panics End? (2016)Stress Tests and Information Disclosure (2017)Does espoused risk culture pay? Evidence from European banks (2020)Coherent Measures of Risk (1999)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)The Impact of Uncertainty Shocks (2009)Portfolio optimization based on stochastic dominance and empirical likelihood (2018)Asymmetric Network Connectedness of Fears (2020)What is Certain about Uncertainty? (2023)Heavy-Tail Phenomena: Probabilistic and Statistical Modeling (2006)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)Enhanced Stress Testing and Financial Stability (2012)CAViaR (2004)Inefficient Credit Booms (2008)Market Liquidity and Funding Liquidity (2008)Assessing the Systemic Risk of a Heterogeneous Portfolio of Banks During the Recent Financial Crisis (2009)The impact of European bank mergers on bidder default risk (2010)Economic policy uncertainty and risk spillovers in the Eurozone (2016)Macro stress tests and crises: what can we learn? (2009)Systematic scenario selection: stress testing and the nature of uncertainty (2014)A survey of network-based analysis and systemic risk measurement (2016)Does Systemic Risk in the Financial Sector Predict Future Economic Downturns? (2012)The Dynamics of Spillover Effects during the European Sovereign Debt Turmoil (2012)Bubbles, Financial Crises, and Systemic Risk (2013)
this work references cited by second hop

References

  • 2010Measuring Systemic Risk432 cited
  • 2011Systemic Risk Contributions343 cited
  • 2002Tail dependence for elliptically contoured distributions156 cited
  • 2008CoVaR129 cited
  • 2009Macroprudential Supervision of Financial Institutions: Lessons from the SCAP113 cited
  • 2009Stress-testing the Banking System94 cited
  • 2004On the controversy over tailweight of distributions93 cited

Cited by

  • 2016Nonparametric Tail Risk, Stock Returns and the Macroeconomy54 cited
  • 2015Stress for Success: A Review of Timothy Geithner's Financial Crisis Memoir42 cited
  • 2012Stress Scenario Selection by Empirical Likelihood39 cited
  • 2018The risk sensitivity of capital requirements: evidence from an international sample of large banks33 cited
  • 2016Stress Testing Banks: Whence and Whither?24 cited

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