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Systemically important banks: an analysis for the European banking system
16 references·16 citing·35 second hopsampled
Systemically important banks: an analysis for the European banking system (2006)Systemically important banks: an analysis…Theory of rational option pricing (2005)Theory of rational option pri…Measuring systemic risk: A risk management approach (2005)Measuring systemic risk: A ri…Estimating bilateral exposures in the German interbank market: Is there a danger of contagion? (2004)Estimating bilateral exposure…Default Risk in Equity Returns (2004)Default Risk in Equity ReturnsInterbank Exposures: Quantifying the Risk of Contagion (2003)Interbank Exposures: Quantify…Value at Risk (2001)Value at RiskEffectiveness of Capital Regulation at U.S. Commercial Banks, 1985 to 1994 (2000)Effectiveness of Capital Regu…Interbank Lending and Systemic Risk: An Empirical Analysis for Switzerland (1998)Interbank Lending and Systemi…Systemic risk in the netting system (1996)Systemic risk in the netting …Interbank lending and systemic risk (1996)Interbank lending and systemi…MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT (1994)MAXIMUM LIKELIHOOD ESTIMATION…Pricing Risk-Adjusted Deposit Insurance: An Option-Based Model (1986)Pricing Risk-Adjusted Deposit…On the Cost of Deposit Insurance When There Are Surveillance Costs (1978)On the Cost of Deposit Insura…An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory (1977)An analytic derivation of the…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Identifying systemic risk drivers of FinTech and traditional financial institutions: machine learning-based prediction and interpretation (2024)Identifying systemic risk dri…Identification of systemically important financial institutions in a multiplex financial network: A multi-attribute decision-based approach (2023)Identification of systemicall…Systemically important banks in Asian emerging markets: Evidence from four systemic risk measures (2021)Systemically important banks …Proper measures of connectedness (2020)Proper measures of connectedn…Systemic interconnectedness among Asian Banks (2017)Systemic interconnectedness a…Evaluating systemic risk using bank default probabilities in financial networks (2016)Evaluating systemic risk usin…The multiplex structure of interbank networks (2014)The multiplex structure of in…Domestic Systemically Important Banks: A Quantitative Analysis for the Chinese Banking System (2014)Domestic Systemically Importa…Transatlantic systemic risk (2013)Transatlantic systemic riskThe Multiplex Structure of Interbank Networks (2013)The Multiplex Structure of In…Network Structure and Systemic Risk in Banking Systems (2013)Network Structure and Systemi…Measuring systemic importance of financial institutions: An extreme value theory approach (2013)Measuring systemic importance…Network Analysis and Calibration of the 'Leveraged Network-Based Financial Accelerator' (2012)Network Analysis and Calibrat…Bilateral Exposures and Systemic Solvency Risk (2012)Bilateral Exposures and Syste…Contagion and Systemic Risk in Financial Networks (2011)Contagion and Systemic Risk i…Banking crisis and prudential supervision: a European perspective (2008)Banking crisis and prudential…The Random Character of Stock Market Prices (1968)THE RELATIONSHIP BETWEEN PUT AND CALL OPTION PRICES (1969)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Coherent Measures of Risk (1999)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The Theory of Bank Risk Taking and Competition Revisited (2005)Bank Governance, Regulation, and Risk Taking (2008)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A model of reserves, bank runs, and deposit insurance (1980)Bank Runs, Deposit Insurance, and Liquidity (1983)Distinguishing Panics and Information-based Bank Runs: Welfare and Policy Implications (1988)Liquidity Risk and Contagion (2005)Network models and financial stability (2007)Contagion in financial networks (2010)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Forecasting Default with the Merton Distance to Default Model (2008)Credit Spreads and Business Cycle Fluctuations (2012)… and the Cross-Section of Expected Returns (2015)Financial Contagion (2000)Systemic Risk, Interbank Relations, and Liquidity Provision by the Central Bank (2000)Financial Networks and Contagion (2012)Deposit Insurance, Risk, and Market Power in Banking (1988)Ownership Structure, Deregulation, and Bank Risk Taking (1990)The role of capital in financial institutions (1995)Option pricing: A simplified approach (1979)Risk Assessment for Banking Systems (2006)Introductory Econometrics for Finance (2008)ESG Shareholder Engagement and Downside Risk (2016)CoVaR (2016)Measuring Systemic Risk (2016)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2016)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,084 cited
  • 2005Theory of rational option pricing7,183 cited
  • 2004Default Risk in Equity Returns1,997 cited
  • 1977An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory1,923 cited
  • 2001Value at Risk853 cited
  • 2003Interbank Exposures: Quantifying the Risk of Contagion734 cited
  • 1986Pricing Risk-Adjusted Deposit Insurance: An Option-Based Model709 cited
  • 2004Estimating bilateral exposures in the German interbank market: Is there a danger of contagion?666 cited
  • 2005Measuring systemic risk: A risk management approach527 cited
  • 1978On the Cost of Deposit Insurance When There Are Surveillance Costs395 cited
  • 1994MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT391 cited
  • 1996Interbank lending and systemic risk306 cited
  • 2000Effectiveness of Capital Regulation at U.S. Commercial Banks, 1985 to 1994231 cited
  • 1998Interbank Lending and Systemic Risk: An Empirical Analysis for Switzerland218 cited

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1996
Systemic risk in the netting system
167 cited

Cited by

  • 2013Network Structure and Systemic Risk in Banking Systems474 cited
  • 2014The multiplex structure of interbank networks299 cited
  • 2016Evaluating systemic risk using bank default probabilities in financial networks58 cited
  • 2013The Multiplex Structure of Interbank Networks57 cited
  • 2013Measuring systemic importance of financial institutions: An extreme value theory approach41 cited
  • 2012Network Analysis and Calibration of the 'Leveraged Network-Based Financial Accelerator'38 cited
  • 2011Contagion and Systemic Risk in Financial Networks37 cited
  • 2020Proper measures of connectedness36 cited
  • 2017Systemic interconnectedness among Asian Banks31 cited
  • 2024Identifying systemic risk drivers of FinTech and traditional financial institutions: machine learning-based prediction and interpretation24 cited
  • 2014Domestic Systemically Important Banks: A Quantitative Analysis for the Chinese Banking System24 cited
  • 2013Transatlantic systemic risk23 cited
  • 2012Bilateral Exposures and Systemic Solvency Risk23 cited
  • 2021Systemically important banks in Asian emerging markets: Evidence from four systemic risk measures18 cited
  • 2008Banking crisis and prudential supervision: a European perspective18 cited
  • 2023Identification of systemically important financial institutions in a multiplex financial network: A multi-attribute decision-based approach16 cited