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SRISK: A Conditional Capital Shortfall Measure of Systemic Risk
16 references·16 citing·38 second hopsampled
SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)SRISK: A Conditional Capital Shortfall Me…On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…When Credit Bites Back (2013)When Credit Bites BackEconometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Econometric measures of conne…Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks (2012)Capital Shortfall: A New Appr…Bank lending during the financial crisis of 2008 (2009)Bank lending during the finan…The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes (2008)The Spline-GARCH Model for Lo…MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Asymmetric Dynamics in the Co…CAViaR (2004)CAViaRDynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH (2001)Theoretical and Empirical pro…Coherent Measures of Risk (1999)Coherent Measures of RiskEvaluating Interval Forecasts (1998)Evaluating Interval ForecastsCredit Cycles (1997)Credit CyclesOn the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Agency Costs, Net Worth, And Business Fluctuations (1988)Agency Costs, Net Worth, And …MACHINE LEARNING METHODS FOR SYSTEMIC RISK ANALYSIS IN FINANCIAL SECTORS (2019)MACHINE LEARNING METHODS FOR …Flights to Safety (2019)Flights to SafetyTime-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads (2016)Time-Varying Systemic Risk: E…The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series (2016)The cross-quantilogram: Measu…TENET: Tail-Event driven NETwork risk (2016)TENET: Tail-Event driven NETw…Systemic risk and the macroeconomy: An empirical evaluation (2016)Systemic risk and the macroec…VAR for VaR: Measuring tail dependence using multivariate regression quantiles (2015)VAR for VaR: Measuring tail d…The multi-layer network nature of systemic risk and its implications for the costs of financial crises (2015)The multi-layer network natur…Financialization in commodity markets: A passing trend or the new normal? (2015)Financialization in commodity…Bank size, capital, and systemic risk: Some international evidence (2015)Bank size, capital, and syste…Systemic Risk in Europe (2014)Systemic Risk in EuropeForecasting the Price of Oil (2013)Forecasting the Price of OilBubbles, Financial Crises, and Systemic Risk (2013)Bubbles, Financial Crises, an…Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Systemic Risk Measurement: Mu…Audit Reporting for Going-Concern Uncertainty: A Research Synthesis (2012)Audit Reporting for Going-Con…Systemic Risk Contributions (2011)Systemic Risk ContributionsModelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Comparing Predictive Accuracy (1994)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)CoVaR (2016)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross‐Section of Volatility and Expected Returns (2006)An Introduction to Copulas (1999)Copula Modeling: An Introduction for Practitioners (2007)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)SRISK: A conditional capital shortfall measure of systemic risk (2017)Why Does Stock Market Volatility Change Over Time? (1989)Measuring and Testing the Impact of News on Volatility (1993)GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics (2001)Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)A NEW MEASURE OF RANK CORRELATION (1938)Asset pricing and the bid-ask spread (1986)Liquidity Risk and Expected Stock Returns (2003)Measuring Systemic Risk (2016)Bank Runs, Deposit Insurance, and Liquidity (1983)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Renegotiation of financial contracts: Evidence from private credit agreements (2009)Securitized banking and the run on repo (2011)The Employment Effects of Credit Market Disruptions: Firm-level Evidence from the 2008–9 Financial Crisis * (2013)Conditional value-at-risk for general loss distributions (2002)Theory and Applications of Robust Optimization (2010)Financial Intermediation, Loanable Funds, and The Real Sector (1997)Financial Constraints Risk (2006)Market Liquidity and Funding Liquidity (2008)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 1997Credit Cycles5,254 cited
  • 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms4,694 cited
  • 2009Bank lending during the financial crisis of 20082,777 cited
  • 1998Evaluating Interval Forecasts2,689 cited
  • 2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors2,527 cited
  • 2004CAViaR2,210 cited
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,775 cited
  • 2001Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH1,401 cited
  • 1988Agency Costs, Net Worth, And Business Fluctuations1,334 cited
  • 2012Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks1,157 cited
  • 2008The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes878 cited

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  • 2013When Credit Bites Back875 cited
  • Cited by

    • 2012Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR658 cited
    • 2015Bank size, capital, and systemic risk: Some international evidence591 cited
    • 2016Systemic risk and the macroeconomy: An empirical evaluation559 cited
    • 2016The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series553 cited
    • 2016TENET: Tail-Event driven NETwork risk472 cited
    • 2013Forecasting the Price of Oil385 cited
    • 2015VAR for VaR: Measuring tail dependence using multivariate regression quantiles383 cited
    • 2013Bubbles, Financial Crises, and Systemic Risk378 cited
    • 2015Financialization in commodity markets: A passing trend or the new normal?373 cited
    • 2012Audit Reporting for Going-Concern Uncertainty: A Research Synthesis362 cited
    • 2011Systemic Risk Contributions343 cited
    • 2019MACHINE LEARNING METHODS FOR SYSTEMIC RISK ANALYSIS IN FINANCIAL SECTORS321 cited
    • 2015The multi-layer network nature of systemic risk and its implications for the costs of financial crises321 cited
    • 2019Flights to Safety314 cited
    • 2016Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads272 cited
    • 2014Systemic Risk in Europe261 cited