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SRISK: A Conditional Capital Shortfall Index for Systemic Risk Measurement · Study

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ArticleSRISK: A Conditional Capital Shortfall Index for Systemic Risk Measurement

Christian T. Brownlees2015

OA

Articlegreen2015

SRISK: A Conditional Capital Shortfall Index for Systemic Risk Measurement

Christian T. Brownlees · Robert F. Engle

59 citations·0/0 files stored·CiteSeer X (The Pennsylvania State University)

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Banking stability, regulation, efficiency Global Financial Crisis and Policies Financial Risk and Volatility Modeling

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References

2002Dynamic Conditional Correlation 2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2004On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation 2011On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms 2005Measuring systemic risk: A risk management approach 1993Threshold arch models and asymmetries in volatility 2012Does Systemic Risk in the Financial Sector Predict Future Economic Downturns?

Cited by

2016The information in systemic risk rankings 2015Price Contagion through Balance Sheet Linkages 2017Estimating Global Bank Network Connectedness 2015Tail risk and systemic risk of US and Eurozone financial institutions in the wake of the global financial crisis 2021Climate Stress Testing 2020Corporate Governance and Banking Systemic Risk: A Test of the Bundling Hypothesis

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2016SRISK: A Conditional Capital Shortfall Measure of Systemic Riskarticle · 9 shared references 2016Systemic risk, financial markets, and performance of financial institutionsarticle · 5 shared references 2011A Theoretical and Empirical Comparison of Systemic Risk Measures: MES versus CoVaRpreprint · 5 shared references 2020Backtesting Marginal Expected Shortfall and Related Systemic Risk Measuresarticle · 5 shared references 2017Modeling Systemic Risk: Time-Varying Tail Dependence When Forecasting Marginal Expected Shortfallarticle · 5 shared references 2010SRISK: A Conditional Capital Shortfall Measure of Systemic Riskpreprint · 4 shared references

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Year2015

Typearticle

Published2015-01-01

VenueCiteSeer X (The Pennsylvania State University)

Languageen

Citations59

Files0 public / 0

ShelfBanking stability, regulation, efficiency

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openalex_workW2120933947

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2016Can We Prove a Bank Guilty of Creating Systemic Risk? A Minority Report

2021Systemic risk contribution of banks and non-bank financial institutions across frequencies: The Australian experience