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Risk-consistent conditional systemic risk measures
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Risk-consistent conditional systemic risk measures (2016)Risk-consistent conditional systemic risk…Systemic Risk in Europe (2014)Systemic Risk in EuropeNetwork Structure and Systemic Risk in Banking Systems (2013)Network Structure and Systemi…Handbook on Systemic Risk (2013)Handbook on Systemic RiskAn Axiomatic Approach to Systemic Risk (2013)An Axiomatic Approach to Syst…A Survey of Systemic Risk Analytics (2012)A Survey of Systemic Risk Ana…Systemic Risk Contributions (2011)Systemic Risk ContributionsDynamic Risk Measures (2011)Dynamic Risk MeasuresAdvanced Mathematical Methods for Finance (2011)Advanced Mathematical Methods…RISK MEASURES: RATIONALITY AND DIVERSIFICATION (2010)RISK MEASURES: RATIONALITY AN…Measuring Systemic Risk (2010)Measuring Systemic RiskMeasuring systemic risk: A risk management approach (2005)Measuring systemic risk: A ri…Conditional and dynamic convex risk measures (2005)Conditional and dynamic conve…Stochastic finance. an introduction in discrete time (2004)Stochastic finance. an introd…Stochastic Finance: An Introduction in Discrete Time (2002)Stochastic Finance: An Introd…Systemic Risk in Financial Systems (2001)Systemic Risk in Financial Sy…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…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)Financial Contagion (2000)Power-Law Distributions in Empirical Data (2009)Default Cascades: When Does Risk Diversification Increase Stability? (2011)‘Too interconnected to fail’ financial network of US CDS market: Topological fragility and systemic risk (2012)Failure and Rescue in an Interbank Network (2012)Power-law distributions in empirical data (2018)Coherent Measures of Risk (1999)Convex measures of risk and trading constraints (2002)Dynamic exponential utility indifference valuation (2005)Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes (2006)Risk measures via -expectations (2006)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Dynamic Conditional Correlation (2002)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Testing macroprudential stress tests: The risk of regulatory risk weights (2014)Which are the SIFIs? A Component Expected Shortfall approach to systemic risk (2014)The systemic risk of European banks during the financial and sovereign debt crises (2015)The Pricing of Options and Corporate Liabilities (1973)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Where the Risks Lie: A Survey on Systemic Risk (2015)TENET: Tail-Event driven NETwork risk (2016)Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach (2021)Theory of Rational Option Pricing (1973)Bubbles, Financial Crises, and Systemic Risk (2013)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Generalized deviations in risk analysis (2005)Utility maximization in incomplete markets (2005)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Contagion in financial networks (2010)Financial Networks and Contagion (2014)A Climate Stress-Test of the Financial System (2016)Modeling and optimization of risk (2010)Conditional value-at-risk in portfolio optimization: Coherent but fragile (2011)Measures of Systemic Risk (2017)
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References

  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 2001Systemic Risk in Financial Systems1,364 cited
  • 2002Stochastic Finance: An Introduction in Discrete Time1,190 cited
  • 2012A Survey of Systemic Risk Analytics716 cited
  • 2005Measuring systemic risk: A risk management approach527 cited
  • 2013Network Structure and Systemic Risk in Banking Systems474 cited
  • 2005Conditional and dynamic convex risk measures356 cited
  • 2004Stochastic finance. an introduction in discrete time351 cited
  • 2011Systemic Risk Contributions343 cited
  • 2014Systemic Risk in Europe261 cited
  • 2013Handbook on Systemic Risk257 cited
  • 2013An Axiomatic Approach to Systemic Risk186 cited
  • 2010Measuring Systemic Risk170 cited
  • 2011Dynamic Risk Measures127 cited
  • 2010RISK MEASURES: RATIONALITY AND DIVERSIFICATION120 cited
  • 2011Advanced Mathematical Methods for Finance115 cited

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