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Global systemic risk measures and their forecasting power for systemic events
16 references·2 citing·38 second hop
Global systemic risk measures and their forecasting power for systemic events (2018)Global systemic risk measures and their f…SRISK: A conditional capital shortfall measure of systemic risk (2017)SRISK: A conditional capital …Measuring Systemic Risk (2016)Measuring Systemic RiskCoVaR (2016)CoVaRWhere the Risks Lie: A Survey on Systemic Risk (2015)Where the Risks Lie: A Survey…Systemic Risk and Stability in Financial Networks (2015)Systemic Risk and Stability i…Interbank tiering and money center banks (2014)Interbank tiering and money c…How likely is contagion in financial networks? (2014)How likely is contagion in fi…Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Systemic Risk Measurement: Mu…Liaisons dangereuses: Increasing connectivity, risk sharing, and systemic risk (2012)Liaisons dangereuses: Increas…Financial Networks and Contagion (2012)Financial Networks and Contag…Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks (2012)Capital Shortfall: A New Appr…Complexity, concentration and contagion (2011)Complexity, concentration and…Contagion in financial networks (2010)Contagion in financial networ…Liquidity Risk and Contagion (2005)Liquidity Risk and ContagionSystemic Risk in Financial Systems (2001)Systemic Risk in Financial Sy…On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)On the Pricing of Corporate D…The Impact of Oil Shocks on Systemic Risk of the Commodity Markets (2024)The Impact of Oil Shocks on S…Systemically important banks in Asian emerging markets: Evidence from four systemic risk measures (2021)Systemically important banks …Estimating betas from nonsynchronous data (1977)Non-Monetary Effects of the Financial Crisis in the Propagation of the Great Depression (1983)Financial Intermediation, Loanable Funds, and The Real Sector (1997)Mathematical Methods and Theory in Games, Programming, and Economics. (1960)Foundations for Financial Economics. (1989)Interbank Lending and Systemic Risk (1996)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)A Climate Stress-Test of the Financial System (2016)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Credit Cycles (1997)Dynamic Conditional Correlation (2002)Estimating global bank network connectedness (2017)Conditional Tail-Risk in Cryptocurrency Markets (2018)Bank Runs, Deposit Insurance, and Liquidity (1983)On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (2011)Liquidation Values and Debt Capacity: A Market Equilibrium Approach (1992)Financial Contagion (2000)The Network Origins of Aggregate Fluctuations (2012)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2018)Systemic Risk, Interbank Relations, and Liquidity Provision by the Central Bank (2000)MACROPRUDENTIAL POLICY – A LITERATURE REVIEW (2010)Systemic risk in banking ecosystems (2011)Liquidity Shortages and Banking Crises (2002)Too many to fail—An analysis of time-inconsistency in bank closure policies (2006)Network models and financial stability (2007)Simulation methods to assess the danger of contagion in interbank markets (2010)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)The cost of capital, corporation finance and the theory of investment (2008)Coherent Measures of Risk (1999)Market Liquidity and Funding Liquidity (2008)Bank Capital and Lending Relationships (2017)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Evaluating Interval Forecasts (1998)Liquidity and leverage (2008)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2016)
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References

  • 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates2,752 cited
  • 2016CoVaR2,490 cited
  • 2015Systemic Risk and Stability in Financial Networks2,130 cited
  • 2016Measuring Systemic Risk1,901 cited
  • 2001Systemic Risk in Financial Systems1,364 cited
  • 2017SRISK: A conditional capital shortfall measure of systemic risk1,318 cited
  • 2012Financial Networks and Contagion1,270 cited
  • 2010Contagion in financial networks1,163 cited
  • 2012Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks1,157 cited
  • 2005Liquidity Risk and Contagion879 cited
  • 2011Complexity, concentration and contagion825 cited
  • 2012Liaisons dangereuses: Increasing connectivity, risk sharing, and systemic risk734 cited
  • 2015Where the Risks Lie: A Survey on Systemic Risk696 cited
  • 2012Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR658 cited
  • 2014How likely is contagion in financial networks?635 cited
  • 2014Interbank tiering and money center banks612 cited

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Cited by

  • 2024The Impact of Oil Shocks on Systemic Risk of the Commodity Markets49 cited
  • 2021Systemically important banks in Asian emerging markets: Evidence from four systemic risk measures18 cited