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SRISK: A Conditional Capital Shortfall Index for Systemic Risk Measurement
16 references·16 citing·53 second hopsampled
SRISK: A Conditional Capital Shortfall Index for Systemic Risk Measurement (2015)SRISK: A Conditional Capital Shortfall In…Model risk of risk models (2016)Model risk of risk modelsConditional Euro Area Sovereign Default Risk (2013)Conditional Euro Area Soverei…Systemic Risk and the Macroeconomy: An Empirical Evaluation (2012)Systemic Risk and the Macroec…Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Econometric measures of conne…Does Systemic Risk in the Financial Sector Predict Future Economic Downturns? (2012)Does Systemic Risk in the Fin…Systemic Risk Contributions (2011)Systemic Risk ContributionsOn the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (2011)On the Network Topology of Va…Anticipating Correlations: A New Paradigm for Risk Management (2009)Anticipating Correlations: A …MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…Measuring systemic risk: A risk management approach (2005)Measuring systemic risk: A ri…On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation (2004)On the Out-of-Sample Importan…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Systemic Risk: A Survey (2001)Systemic Risk: A SurveyCosts of Banking System Instability: Some Empirical Evidence (2001)Costs of Banking System Insta…MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT (1994)MAXIMUM LIKELIHOOD ESTIMATION…Threshold arch models and asymmetries in volatility (1993)Threshold arch models and asy…Systemic risk contribution of banks and non-bank financial institutions across frequencies: The Australian experience (2021)Systemic risk contribution of…Systemic risk and severe economic downturns: A targeted and sparse analysis (2021)Systemic risk and severe econ…Climate Stress Testing (2021)Climate Stress TestingFrom stress testing to systemic stress testing: The importance of macroprudential regulation (2020)From stress testing to system…Corporate Governance and Banking Systemic Risk: A Test of the Bundling Hypothesis (2020)Corporate Governance and Bank…The counterparty risk exposure of ETF investors (2019)The counterparty risk exposur…Relative performance and systemic risk contributions of small and large banks during the financial crisis (2019)Relative performance and syst…Measuring the probability of a financial crisis (2019)Measuring the probability of …Estimating Global Bank Network Connectedness (2017)Estimating Global Bank Networ…The information in systemic risk rankings (2016)The information in systemic r…The European sovereign debt crisis: What have we learned? (2016)The European sovereign debt c…Measuring systemic risk with regime switching in tails (2016)Measuring systemic risk with …Can We Prove a Bank Guilty of Creating Systemic Risk? A Minority Report (2016)Can We Prove a Bank Guilty of…Tail risk and systemic risk of US and Eurozone financial institutions in the wake of the global financial crisis (2015)Tail risk and systemic risk o…Price Contagion through Balance Sheet Linkages (2015)Price Contagion through Balan…Dynamic Conditional Beta (2014)Dynamic Conditional BetaModelling 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)The Pricing of Options and Corporate Liabilities (1973)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)The intersection of market and credit risk (2000)Structural Models of Credit Risk are Useful: Evidence from Hedge Ratios on Corporate Bonds (2004)Structural models of credit risk are useful: Evidence from hedge ratios on corporate bonds☆ (2008)Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Geopolitical risk and dynamic connectedness between commodity markets (2022)Quantile time–frequency price connectedness between green bond, green equity, sustainable investments and clean energy markets (2022)Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic (2022)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)Optimum consumption and portfolio rules in a continuous-time model (1971)An Introduction to Copulas (1999)Coherent Measures of Risk (1999)Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)A review of copula models for economic time series (2012)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Copula Modeling: An Introduction for Practitioners (2007)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)SRISK: A conditional capital shortfall measure of systemic risk (2017)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Augmented GARCH (p,q) process and its diffusion limit (1997)A nonlinear autoregressive conditional duration model with applications to financial transaction data (2001)Modelling Nonlinear Economic Time Series (2010)A NEW MEASURE OF RANK CORRELATION (1938)Asset pricing and the bid-ask spread (1986)Liquidity Risk and Expected Stock Returns (2003)CoVaR (2016)Measuring Systemic Risk (2016)Theory of Rational Option Pricing (1973)Bubbles, Financial Crises, and Systemic Risk (2013)Network Structure and Systemic Risk in Banking Systems (2013)TENET: Tail-Event driven NETwork risk (2016)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)The Cross-Section of Expected Stock Returns (1992)Banks’ Non-Interest Income and Systemic Risk (2012)Is economic uncertainty priced in the cross-section of stock returns? (2017)Flights to Safety (2019)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 2002Dynamic Conditional Correlation7,126 cited
  • 2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors2,527 cited
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 2004On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation670 cited
  • 2011On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms596 cited
  • 2005Measuring systemic risk: A risk management approach527 cited
  • 1993Threshold arch models and asymmetries in volatility492 cited
  • 2012Does Systemic Risk in the Financial Sector Predict Future Economic Downturns?439 cited
  • 1994MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT391 cited
  • 2011Systemic Risk Contributions343 cited
  • 2001Systemic Risk: A Survey224 cited
  • 2009Anticipating Correlations: A New Paradigm for Risk Management206 cited
  • 2001Costs of Banking System Instability: Some Empirical Evidence203 cited
  • 2013Conditional Euro Area Sovereign Default Risk167 cited
  • 2016Model risk of risk models165 cited

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2012
Systemic Risk and the Macroeconomy: An Empirical Evaluation
161 cited

Cited by

  • 2016The information in systemic risk rankings58 cited
  • 2015Price Contagion through Balance Sheet Linkages57 cited
  • 2017Estimating Global Bank Network Connectedness55 cited
  • 2015Tail risk and systemic risk of US and Eurozone financial institutions in the wake of the global financial crisis51 cited
  • 2021Climate Stress Testing43 cited
  • 2020Corporate Governance and Banking Systemic Risk: A Test of the Bundling Hypothesis38 cited
  • 2016Can We Prove a Bank Guilty of Creating Systemic Risk? A Minority Report37 cited
  • 2021Systemic risk contribution of banks and non-bank financial institutions across frequencies: The Australian experience32 cited
  • 2014Dynamic Conditional Beta32 cited
  • 2016Measuring systemic risk with regime switching in tails31 cited
  • 2019Relative performance and systemic risk contributions of small and large banks during the financial crisis31 cited
  • 2021Systemic risk and severe economic downturns: A targeted and sparse analysis30 cited
  • 2019Measuring the probability of a financial crisis28 cited
  • 2016The European sovereign debt crisis: What have we learned?27 cited
  • 2019The counterparty risk exposure of ETF investors24 cited
  • 2020From stress testing to systemic stress testing: The importance of macroprudential regulation24 cited