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The Effect of Credit Risk Transfer on Financial Stability
15 references·0 citing·47 second hop
The Effect of Credit Risk Transfer on Financial Stability (2006)The Effect of Credit Risk Transfer on Fin…Financial Stability Review (2011)Financial Stability ReviewEstimating Systemic Risk in the International Financial System (2005)Estimating Systemic Risk in t…Der Handel von Kreditrisiken: Eine neue Dimension des Kapitalmarktes (2005)Der Handel von Kreditrisiken:…Default Risk Sharing Between Banks and Markets: The Contribution of Collateralized Debt Obligations (2005)Default Risk Sharing Between …Credit contagion and aggregate losses (2005)Credit contagion and aggregat…Coexceedances in financial markets—a quantile regression analysis of contagion (2005)Coexceedances in financial ma…Banking System Stability: A Cross-Atlantic Perspective (2005)Banking System Stability: A C…Systemic Risk and International Portfolio Choice (2004)Systemic Risk and Internation…Measurement of contagion in banks’ equity prices (2004)Measurement of contagion in b…Measurement of Contagion in Banks' Equity Prices (2004)Measurement of Contagion in B…Collateralised Loan Obligations (Clos) - a Primer (2003)Collateralised Loan Obligatio…A New Approach to Measuring Financial Contagion (2003)A New Approach to Measuring F…Systemic Risk and International Portfolio Choice (2002)Systemic Risk and Internation…A New Approach to Measuring Financial Contagion (2000)A New Approach to Measuring F…Financial Contagion Journal of Political Economy (1998)Financial Contagion Journal o…Bank Runs, Deposit Insurance, and Liquidity (1983)Agency Costs, Net Worth, And Business Fluctuations (1988)Simulation methods to assess the danger of contagion in interbank markets (2010)Bank competition and financial stability in Asia Pacific (2013)Rethinking the financial network (2013)Nonmonetary Effects of the Financial Crisis in the Propagation of the Great Depression (2024)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Modeling Term Structures of Defaultable Bonds (1999)Financial Contagion (2000)The Economic Crisis is a Crisis for Economic Theory (2010)Firm-network characteristics and economic robustness to natural disasters (2011)Contagion and risk-sharing on the inter-bank market (2013)Optimum consumption and portfolio rules in a continuous-time model (1971)Option pricing when underlying stock returns are discontinuous (1976)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)An Equilibrium Model of Rare Event Premia (2002)The world price of jump and volatility risk (2012)How to Identify and Forecast Bull and Bear Markets? (2016)The Variation of Certain Speculative Prices (1963)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Practical Volatility and Correlation Modeling for Financial Market Risk Management (2005)Extreme US stock market fluctuations in the wake of 9/11 (2008)EXTREME VALUE THEORY IN FINANCE: A SURVEY (2013)The measurement of urban travel demand (1974)Limited-dependent and qualitative variables in econometrics (1983)Market Integration and Contagion (2003)Multivariate GARCH models To appear in T. G. Andersen, R. A. Davis, J.-P. Kreiss and T. Mikosch, eds. Handbook of Financial Time Series. New York: Springer. (2008)Financial Risk Measurement for Financial Risk Management (2013)Econometric Models and Economic Forecasts (1990)An Introduction to Copulas (1999)The heterogeneity dependence between crude oil price changes and industry stock market returns in China: Evidence from a quantile regression approach (2016)Systemic Risk Network of Chinese Financial Institutions (2018)Two decades of contagion effect on stock markets: Which events are more contagious? (2021)Correlations in Price Changes and Volatility across International Stock Markets (1990)Extreme Correlation of International Equity Markets (2001)Measuring Reputational Risk: The Market Reaction to Operational Loss Announcements (2005)What factors drive systemic risk during international financial crises? (2014)Bank profitability and the business cycle (2008)Bank risk and monetary policy (2009)Global Banking Glut and Loan Risk Premium (2012)Emerging markets finance (2003)Dynamic correlation analysis of financial contagion: Evidence from Asian markets (2007)Measuring financial contagion: A Copula approach (2007)An Equilibrium Model of Rare-Event Premia and Its Implication for Option Smirks (2004)International asset allocation under regime switching, skew, and kurtosis preferences (2008)Is there dependence and systemic risk between oil and renewable energy stock prices? (2014)
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References

  • 2011Financial Stability Review1,137 cited
  • 2003A New Approach to Measuring Financial Contagion1,015 cited
  • 1998Financial Contagion Journal of Political Economy624 cited
  • 2004Systemic Risk and International Portfolio Choice405 cited
  • 2005Credit contagion and aggregate losses172 cited
  • 2005Banking System Stability: A Cross-Atlantic Perspective137 cited
  • 2004Measurement of contagion in banks’ equity prices136 cited
  • 2005Coexceedances in financial markets—a quantile regression analysis of contagion135 cited
  • 2000A New Approach to Measuring Financial Contagion132 cited
  • 2002Systemic Risk and International Portfolio Choice68 cited
  • 2005Default Risk Sharing Between Banks and Markets: The Contribution of Collateralized Debt Obligations56 cited
  • 2005Estimating Systemic Risk in the International Financial System40 cited
  • 2003Collateralised Loan Obligations (Clos) - a Primer40 cited
  • 2005Der Handel von Kreditrisiken: Eine neue Dimension des Kapitalmarktes30 cited
  • 2004Measurement of Contagion in Banks' Equity Prices21 cited

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