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SRISK: A Conditional Capital Shortfall Measure of Systemic Risk · Study

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ArticleSRISK: A Conditional Capital Shortfall Measure of Systemic Risk

Christian T. Brownlees2016

OA

Articlebronze2016

SRISK: A Conditional Capital Shortfall Measure of Systemic Risk

Christian T. Brownlees · Robert F. Engle

260 citations·0/0 files stored·Review of Financial Studies

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Banking stability, regulation, efficiency Global Financial Crisis and Policies Financial Risk and Volatility Modeling

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 260 citations exist upstream.

References

1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 2002Dynamic Conditional Correlation 1997Credit Cycles 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms 1988Agency Costs, Net Worth, And Business Fluctuations 2009Bank lending during the financial crisis of 2008 2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors 2016CoVaR

Cited by

2016Is there a competition-stability trade-off in European banking?2017Measures of Systemic Risk 2021Systemic risk and the COVID challenge in the european banking sector 2016Understanding Bank Risk through Market Measures 2018Measuring the propagation of financial distress with Granger-causality tail risk networks 2019Monitoring indirect contagion 2020Backtesting global Growth-at-Risk 2022Operational Risk is More Systemic than You Think: Evidence from U.S. Bank Holding Companies

Details

Year2016

Typearticle

Published2016-08-06

VenueReview of Financial Studies

ISSN-L0893-9454

Languageen

Citations260

Files0 public / 0

ShelfBanking stability, regulation, efficiency

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openalex_workW2400596708

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