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Measuring systemic importance of banks considering risk interactions: An ANOVA-like decomposition method
16 references·1 citing·39 second hop
Measuring systemic importance of banks considering risk interactions: An ANOVA-like decomposition method (2020)Measuring systemic importance of banks co…Bank size, capital, and systemic risk: Some international evidence (2015)Bank size, capital, and syste…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…A Survey of Systemic Risk Analytics (2012)A Survey of Systemic Risk Ana…Simulation methods to assess the danger of contagion in interbank markets (2010)Simulation methods to assess …Assessing financial contagion in the interbank market: Maximum entropy versus observed interbank lending patterns (2010)Assessing financial contagion…This Time is Different: A Panoramic View of Eight Centuries of Financial Crises (2008)This Time is Different: A Pan…Network models and financial stability (2007)Network models and financial …Risk Assessment for Banking Systems (2006)Risk Assessment for Banking S…Interbank exposures: an empirical examination of systemic risk in the Belgian banking system (2004)Interbank exposures: an empir…Estimating bilateral exposures in the German interbank market: Is there a danger of contagion? (2004)Estimating bilateral exposure…Interbank Exposures: Quantifying the Risk of Contagion (2003)Interbank Exposures: Quantify…Systemic Risk in Financial Systems (2001)Systemic Risk in Financial Sy…General foundations of high‐dimensional model representations (1999)General foundations of high‐d…Response Surface Methodology: Process and Product Optimization Using Designed Experiments (1996)Response Surface Methodology:…Response Surface Methodology: Process and Product Optimization Using Designed Experiments (1996)Response Surface Methodology:…Financial constraint, cross-sectoral spillover and systemic risk in China (2022)Financial constraint, cross-s…Manias, Panics, and Crashes: A History of Financial Crises (1979)The Twin Crises: The Causes of Banking and Balance-of-Payments Problems (1999)The Modern History of Exchange Rate Arrangements: A Reinterpretation (2004)Creditor rights, information sharing, and bank risk taking (2010)Bank Risk-taking, Securitization, Supervision, and Low Interest Rates: Evidence from the Euro-area and the U.S. Lending Standards (2011)From Financial Crash to Debt Crisis (2011)Statistics for Experimenters (1979)Design and Analysis of Experiments (1998)Modeling and optimization I: Usability of response surface methodology (2006)Response surface methodology (2010)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)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)Systemic Risk and Stability in Financial Networks (2015)A Climate Stress-Test of the Financial System (2016)Financial Contagion (2000)Systemic Risk, Interbank Relations, and Liquidity Provision by the Central Bank (2000)The Pricing of Options and Corporate Liabilities (1973)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)A Macroprudential Approach to Financial Regulation (2011)Where the Risks Lie: A Survey on Systemic Risk (2015)Does Deposit Insurance Increase Banking System Stability? (2000)Systemic risk in banking ecosystems (2011)A model of reserves, bank runs, and deposit insurance (1980)Distinguishing Panics and Information-based Bank Runs: Welfare and Policy Implications (1988)Liquidity Risk and Contagion (2005)Importance measures in global sensitivity analysis of nonlinear models (1996)Sensitivity Analysis for Chemical Models (2005)A new uncertainty importance measure (2006)Sensitivity analysis: A review of recent advances (2015)Research Issues and Ideas in Statistical Process Control (1999)
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References

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  • 2014How likely is contagion in financial networks?635 cited
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  • 2010Assessing financial contagion in the interbank market: Maximum entropy versus observed interbank lending patterns

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573 cited
  • 2004Interbank exposures: an empirical examination of systemic risk in the Belgian banking system501 cited
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    • 2022Financial constraint, cross-sectoral spillover and systemic risk in China15 cited