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On a New Approach for Analyzing and Managing Macrofinancial Risks (corrected)
7 references·10 citing·44 second hop
On a New Approach for Analyzing and Managing Macrofinancial Risks (corrected) (2013)On a New Approach for Analyzing and Manag…Contingent Claims Approach to Measuring and Managing Sovereign Credit Risk (2019)Contingent Claims Approach to…Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Econometric measures of conne…Merton, Robert C. (2010)Merton, Robert C.Measuring and Analyzing Sovereign Risk with Contingent Claims (2008)Measuring and Analyzing Sover…Macrofinancial Risk Analysis (2008)Macrofinancial Risk AnalysisAn analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory (1977)An analytic derivation of the…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…Interconnected multilayer networks: Quantifying connectedness among global stock and foreign exchange markets (2023)Interconnected multilayer net…The changing network of financial market linkages: The Asian experience (2019)The changing network of finan…The changing international network of sovereign debt and financial institutions (2018)The changing international ne…Measuring the propagation of financial distress with Granger-causality tail risk networks (2018)Measuring the propagation of …Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction (2018)Assessing systemic risk due t…Research Challenges in Financial Data Modeling and Analysis (2017)Research Challenges in Financ…Identifying contagion (2017)Identifying contagionSystemic risk mitigation in financial networks (2015)Systemic risk mitigation in f…Modeling Banking, Sovereign, and Macro Risk in a CCA Global VAR (2013)Modeling Banking, Sovereign, …From Fragmentation to Financial Integration in Europe (2013)From Fragmentation to Financi…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Bank competition and financial stability in Asia Pacific (2013)Financial distress and bankruptcy prediction among listed companies using accounting, market and macroeconomic variables (2013)How does competition affect bank systemic risk? (2013)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)Theory of rational option pricing (2005)CoVaR (2008)A Simple Robust Link Between American Puts and Credit Protection (2010)Systemic risk and the refinancing ratchet effect (2012)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)The Twin Crises: The Causes of Banking and Balance-of-Payments Problems (1999)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)High-dimensional CoVaR network connectedness for measuring conditional financial contagion and risk spillovers from oil markets to the G20 stock system (2021)Extreme risk spillovers among traditional financial and FinTech institutions: A complex network perspective (2023)Interconnected networks: Measuring extreme risk connectedness between China’s financial sector and real estate sector (2023)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)SRISK: A conditional capital shortfall measure of systemic risk (2017)Lombard Street: A Description of the Money Market (1873)Financial Contagion (2000)Systemic Risk in Financial Systems (2001)Liability Concentration and Systemic Losses in Financial Networks (2015)Monitoring vulnerability and impact diffusion in financial networks (2017)Interbank Clearing in Financial Networks with Multiple Maturities (2019)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Global stock markets risk contagion: Evidence from multilayer connectedness networks in the frequency domain (2023)Systemic risk propagation in the Eurozone: A multilayer network approach (2023)Euro Area Sovereign Debt Crisis: Can Contagion Spread from the Periphery to the Core? (2012)Measuring financial stress in transition economies (2012)Sovereign Debt Restructurings 1950-2010 (2012)The Theory of Bank Risk Taking and Competition Revisited (2005)The Credit Crisis Around the Globe: Why Did Some Banks Perform Better? (2011)How does capital affect bank performance during financial crises? (2013)Hedge Funds, Systemic Risk, and the Financial Crisis of 2007-2008: Written Testimony for the House Oversight Committee Hearing on Hedge Funds (2008)
this work references cited by second hop

References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors2,527 cited
  • 1977An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory1,923 cited
  • 2010Merton, Robert C.812 cited
  • 2008Macrofinancial Risk Analysis178 cited
  • 2019Contingent Claims Approach to Measuring and Managing Sovereign Credit Risk140 cited
  • 2008Measuring and Analyzing Sovereign Risk with Contingent Claims122 cited

Cited by

  • 2023Interconnected multilayer networks: Quantifying connectedness among global stock and foreign exchange markets109 cited
  • 2018Measuring the propagation of financial distress with Granger-causality tail risk networks101 cited
  • 2015Systemic risk mitigation in financial networks97 cited
  • 2019The changing network of financial market linkages: The Asian experience76 cited
  • 2018Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction46 cited
  • 2018The changing international network of sovereign debt and financial institutions37 cited
  • 2013From Fragmentation to Financial Integration in Europe33 cited

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  • 2013Modeling Banking, Sovereign, and Macro Risk in a CCA Global VAR29 cited
  • 2017Identifying contagion27 cited
  • 2017Research Challenges in Financial Data Modeling and Analysis24 cited