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Measuring Systemic Risk in the Finance and Insurance Sectors
16 references·13 citing·27 second hop
Measuring Systemic Risk in the Finance and Insurance Sectors (2010)Measuring Systemic Risk in the Finance an…Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Deciphering the Liquidity and…Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …Liquidity and leverage (2008)Liquidity and leverageAsset pricing with liquidity risk (2005)Asset pricing with liquidity …The Adaptive Markets Hypothesis (2004)The Adaptive Markets Hypothes…Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Corporate Yield Spreads: Defa…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…International Asset Allocation With Regime Shifts (2002)International Asset Allocatio…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…The Twin Crises: The Causes of Banking and Balance-of-Payments Problems (1999)The Twin Crises: The Causes o…The variation of certain speculative prices (1997)The variation of certain spec…Time‐Varying World Market Integration (1995)Time‐Varying World Market Int…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Estimating the components of the bid/ask spread (1988)Estimating the components of …Central Bank Policy Mix: Issues, Challenges, and Policy Responses (2022)Central Bank Policy Mix: Issu…The Industrial Organization of the US Residential Mortgage Market (2014)The Industrial Organization o…Multi-CoVaR and Shapley value: A Systemic Risk Measure (2014)Multi-CoVaR and Shapley value…Corporate precautionary savings: Evidence from the recent financial crisis (2014)Corporate precautionary savin…Transatlantic systemic risk (2013)Transatlantic systemic riskSystemic Risk, Financial Crisis, and Credit Risk Insurance (2013)Systemic Risk, Financial Cris…Network Models and Systemic Risk Assessment (2013)Network Models and Systemic R…Endogenous Banks' Networks, Cascades and Systemic Risk (2013)Endogenous Banks' Networks, C…Toward Determining Systemic Importance (2012)Toward Determining Systemic I…Regime-switching measure of systemic financial stress (2012)Regime-switching measure of s…Velocity of Pledged Collateral (2011)Velocity of Pledged CollateralOn the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (2011)On the Network Topology of Va…Analysis and Valuation of Insurance Companies (2011)Analysis and Valuation of Ins…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)A five-factor asset pricing model (2014)A Model of Balance-of-Payments Crises (1979)New Indexes of Coincident and Leading Economic Indicators (1989)The Determinants of Banking Crises in Developing and Developed Countries (1998)Does financial liberalization spur growth? (2005)Economic Freedom of the World: 2022 Annual Report (2022)Extreme Values, Regular Variation and Point Processes (1987)Modelling Extremal Events (1997)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Editor's Choice Digesting Anomalies: An Investment ApproachOn Persistence in Mutual Fund Performance (1997)Credit Rationing in Markets with Imperfect Information (1981)Bank Runs, Deposit Insurance, and Liquidity (1983)Continuous Auctions and Insider Trading (1985)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Determinants of corporate borrowing (1977)Bank lending during the financial crisis of 2008 (2009)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 2008Market Liquidity and Funding Liquidity5,007 cited
  • 1999The Twin Crises: The Causes of Banking and Balance-of-Payments Problems4,990 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 2009Deciphering the Liquidity and Credit Crunch 2007–20083,326 cited
  • 2005Asset pricing with liquidity risk2,816 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 2008Liquidity and leverage2,557 cited
  • 1995Time‐Varying World Market Integration2,152 cited
  • 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market2,087 cited
  • 2002International Asset Allocation With Regime Shifts1,779 cited
  • 2004The Adaptive Markets Hypothesis1,708 cited
  • 1988Estimating the components of the bid/ask spread

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1,612 cited

Cited by

  • 2011Velocity of Pledged Collateral77 cited
  • 2013Network Models and Systemic Risk Assessment64 cited
  • 2013Endogenous Banks' Networks, Cascades and Systemic Risk62 cited
  • 2011Analysis and Valuation of Insurance Companies51 cited
  • 2011On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms39 cited
  • 2014The Industrial Organization of the US Residential Mortgage Market37 cited
  • 2014Corporate precautionary savings: Evidence from the recent financial crisis31 cited
  • 2014Multi-CoVaR and Shapley value: A Systemic Risk Measure27 cited
  • 2012Regime-switching measure of systemic financial stress26 cited
  • 2012Toward Determining Systemic Importance25 cited
  • 2013Systemic Risk, Financial Crisis, and Credit Risk Insurance23 cited
  • 2013Transatlantic systemic risk23 cited
  • 2022Central Bank Policy Mix: Issues, Challenges, and Policy Responses12 cited