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Dynamic Systemic Risk: Networks in Data Science
16 references·0 citing·47 second hopsampled
Dynamic Systemic Risk: Networks in Data Science (2019)Dynamic Systemic Risk: Networks in Data S…Systemic risk and the macroeconomy: An empirical evaluation (2016)Systemic risk and the macroec…An analysis of the literature on systemic financial risk: A survey (2016)An analysis of the literature…Too interconnected to fail: a survey of the interbank networks literature (2015)Too interconnected to fail: a…The systemic risk of European banks during the financial and sovereign debt crises (2015)The systemic risk of European…Dynamical macroprudential stress testing using network theory (2015)Dynamical macroprudential str…Systemic Risk in an Interconnected Banking System with Endogenous Asset Markets (2014)Systemic Risk in an Interconn…On a New Approach for Analyzing and Managing Macrofinancial Risks (corrected) (2013)On a New Approach for Analyzi…Externalities and Macroprudential Policy (2012)Externalities and Macropruden…Econometric 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…Systemic Risk Contributions (2011)Systemic Risk ContributionsPrincipal Components as a Measure of Systemic Risk (2011)Principal Components as a Mea…A Theoretical and Empirical Comparison of Systemic Risk Measures: MES versus CoVaR (2011)A Theoretical and Empirical C…SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)SRISK: A Conditional Capital …Simulation methods to assess the danger of contagion in interbank markets (2010)Simulation methods to assess …ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…The Financial Accelerator in a Quantitative Business Cycle Framework (1998)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2006)Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004-2014 (2015)Syndication, interconnectedness, and systemic risk (2017)Bank Systemic Risk around COVID-19: A Cross-Country Analysis (2020)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)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)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)CoVaR (2016)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)On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (2011)Measuring Systemic Risk (2016)Bank Runs, Deposit Insurance, and Liquidity (1983)Market Liquidity and Funding Liquidity (2008)Input-output analysis foundations and extensions (2009)Contagion in financial networks (2010)MACROPRUDENTIAL POLICY – A LITERATURE REVIEW (2010)Financial Networks and Contagion (2012)Credit Rationing in Markets with Imperfect Information (1981)Financial Intermediation and Delegated Monitoring (1984)MACHINE LEARNING METHODS FOR SYSTEMIC RISK ANALYSIS IN FINANCIAL SECTORS (2019)Climate sentiments, transition risk, and financial stability in a stock-flow consistent model (2021)Financial stability and sustainable development (2023)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Coherent Measures of Risk (1999)Dynamic Conditional Correlation (2002)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Macroeconomics and Reality (1980)Illiquidity and stock returns: cross-section and time-series effects (2002)The Impact of Uncertainty Shocks (2009)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2016)Sensitive industries produce better ESG performance: Evidence from emerging markets (2017)Firm-Level Political Risk: Measurement and Effects* (2019)A NEW MEASURE OF RANK CORRELATION (1938)Liquidity Risk and Expected Stock Returns (2003)Systemic Risk and Stability in Financial Networks (2015)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Extreme Correlation of International Equity Markets (2001)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)A Survey of Systemic Risk Analytics (2012)Where the Risks Lie: A Survey on Systemic Risk (2015)
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References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*11,230 cited
  • 2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors2,538 cited
  • 2012Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks1,157 cited
  • 2010Simulation methods to assess the danger of contagion in interbank markets700 cited
  • 2010SRISK: A Conditional Capital Shortfall Measure of Systemic Risk662 cited
  • 2016Systemic risk and the macroeconomy: An empirical evaluation608 cited
  • 2011Principal Components as a Measure of Systemic Risk353 cited
  • 2011Systemic Risk Contributions343 cited
  • 2016An analysis of the literature on systemic financial risk: A survey227 cited
  • 2015The systemic risk of European banks during the financial and sovereign debt crises206 cited
  • 2012Externalities and Macroprudential Policy103 cited
  • 2011A Theoretical and Empirical Comparison of Systemic Risk Measures: MES versus CoVaR102 cited
  • 2014Systemic Risk in an Interconnected Banking System with Endogenous Asset Markets96 cited
  • 2013On a New Approach for Analyzing and Managing Macrofinancial Risks (corrected)89 cited
  • 2015Dynamical macroprudential stress testing using network theory

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84 cited
  • 2015Too interconnected to fail: a survey of the interbank networks literature82 cited
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