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Systemic Real and Financial Risks: Measurement, Forecasting, and Stress Testing
16 references·0 citing·51 second hop
Systemic Real and Financial Risks: Measurement, Forecasting, and Stress Testing (2011)Systemic Real and Financial Risks: Measur…Methods for Applied Macroeconomic Research (2011)Methods for Applied Macroecon…SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)SRISK: A Conditional Capital …Bank lending during the financial crisis of 2008 (2009)Bank lending during the finan…Chapter 10 Forecasting with Many Predictors (2006)Chapter 10 Forecasting with M…The dark side of diversification: The case of US financial holding companies (2005)The dark side of diversificat…Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach (2005)Measuring the Effects of Mone…Measuring systemic risk: A risk management approach (2005)Measuring systemic risk: A ri…Implications of Dynamic Factor Models for VAR Analysis (2005)Implications of Dynamic Facto…Diversification in Banking: Is Noninterest Income the Answer? (2004)Diversification in Banking: I…Bank Consolidation, Internationalization, and Conglomeration: Trends and Implications for Financial Risk (2004)Bank Consolidation, Internati…On the coherence of expected shortfall (2002)On the coherence of expected …Macroeconomic Forecasting Using Diffusion Indexes (2002)Macroeconomic Forecasting Usi…Determining the Number of Factors in Approximate Factor Models (2002)Determining the Number of Fac…Tail-Index Estimates in Small Samples (2001)Tail-Index Estimates in Small…Systemic risk: A survey (2000)Systemic risk: A surveyEvaluating Density Forecasts with Applications to Financial Risk Management (1998)Evaluating Density Forecasts …Tests for Unit Roots: A Monte Carlo Investigation (1989)Forecasting inflation (1999)Inferential Theory for Factor Models of Large Dimensions (2003)A PANIC Attack on Unit Roots and Cointegration (2004)Panel Data Models With Interactive Fixed Effects (2009)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The Determinants of Firms' Hedging Policies (1985)Risk Management: Coordinating Corporate Investment and Financing Policies (1993)Bank income structure and risk: An empirical analysis of European banks (2007)Back to the basics in banking? 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References

  • 2002Determining the Number of Factors in Approximate Factor Models4,110 cited
  • 2009Bank lending during the financial crisis of 20082,777 cited
  • 2002Macroeconomic Forecasting Using Diffusion Indexes2,550 cited
  • 2005Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach1,852 cited
  • 2002On the coherence of expected shortfall1,596 cited
  • 1998Evaluating Density Forecasts with Applications to Financial Risk Management1,452 cited
  • 2004Diversification in Banking: Is Noninterest Income the Answer?1,192 cited
  • 2005The dark side of diversification: The case of US financial holding companies1,149 cited
  • 2005Implications of Dynamic Factor Models for VAR Analysis870 cited
  • 2010SRISK: A Conditional Capital Shortfall Measure of Systemic Risk662 cited
  • 2011Methods for Applied Macroeconomic Research573 cited
  • 2005Measuring systemic risk: A risk management approach527 cited
  • 2006Chapter 10 Forecasting with Many Predictors382 cited
  • 2000Systemic risk: A survey375 cited
  • 2001Tail-Index Estimates in Small Samples293 cited
  • 2004

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Bank Consolidation, Internationalization, and Conglomeration: Trends and Implications for Financial Risk
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