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Foundations of System-Wide Financial Stress Testing with Heterogeneous Institutions
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Foundations of System-Wide Financial Stress Testing with Heterogeneous Institutions (2020)Foundations of System-Wide Financial Stre…Vulnerable banks (2014)Vulnerable banksStability analysis of financial contagion due to overlapping portfolios (2014)Stability analysis of financi…Repo Runs: Evidence from the Tri‐Party Repo Market (2014)Repo Runs: Evidence from the …Network Structure and Systemic Risk in Banking Systems (2013)Network Structure and Systemi…Securitized banking and the run on repo (2011)Securitized banking and the r…Fire Sales in Finance and Macroeconomics (2011)Fire Sales in Finance and Mac…Complexity, concentration and contagion (2011)Complexity, concentration and…Countercyclical Capital Buffers: Exploring Options (2010)Countercyclical Capital Buffe…Contagion in financial networks (2010)Contagion in financial networ…Too Many to Fail? Evidence of Regulatory Forbearance When the Banking Sector Is Weak (2009)Too Many to Fail? Evidence of…Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …Liquidity and leverage (2008)Liquidity and leverageLiquidity Risk and Contagion (2005)Liquidity Risk and ContagionAsset Fire Sales (and Purchases) in Equity Markets (2005)Asset Fire Sales (and Purchas…Market force, ecology and evolution (2002)Market force, ecology and evo…How Accurate Are Value‐at‐Risk Models at Commercial Banks? (2002)How Accurate Are Value‐at‐Ris…Techniques for Verifying the Accuracy of Risk Measurement Models (1995)Evaluating Interval Forecasts (1998)CAViaR (2004)Measuring Market Risk (2005)Does Systemic Risk in the Financial Sector Predict Future Economic Downturns? (2012)Stock Liquidity and Stock Price Crash Risk (2017)Credit Rationing in Markets with Imperfect Information (1981)Financial Contagion (2000)How likely is contagion in financial networks? (2014)Contagion in Financial Networks (2016)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Dumb money: Mutual fund flows and the cross-section of stock returns (2008)Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010)Bank Runs, Deposit Insurance, and Liquidity (1983)Continuous Auctions and Insider Trading (1985)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)The Limits of Arbitrage (1995)The Cross‐Section of Volatility and Expected Returns (2006)Credit Spreads and Business Cycle Fluctuations (2012)Value and Momentum Everywhere (2013)CoVaR (2016)Corporate financing and investment decisions when firms have information that investors do not have (1984)Credit Cycles (1997)The Economics of Structured Finance (2009)How Valuable Is Financial Flexibility when Revenue Stops? Evidence from the COVID-19 Crisis (2020)Systemic Risk, Interbank Relations, and Liquidity Provision by the Central Bank (2000)Systemic Risk in Financial Systems (2001)MACROPRUDENTIAL POLICY – A LITERATURE REVIEW (2010)Liaisons dangereuses: Increasing connectivity, risk sharing, and systemic risk (2012)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)Where the Risks Lie: A Survey on Systemic Risk (2015)Liquidation Values and Debt Capacity: A Market Equilibrium Approach (1992)The multi-layer network nature of systemic risk and its implications for the costs of financial crises (2015)Syndication, interconnectedness, and systemic risk (2017)Climate Risk and Financial Stability in the Network of Banks and Investment Funds (2019)The Determinants of Credit Spread Changes (2001)Bank lending during the financial crisis of 2008 (2009)How does capital affect bank performance during financial crises? (2013)The Employment Effects of Credit Market Disruptions: Firm-level Evidence from the 2008–9 Financial Crisis * (2013)Cross-Border Banking and Global Liquidity (2014)
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References

  • 2008Market Liquidity and Funding Liquidity5,007 cited
  • 2008Liquidity and leverage2,557 cited
  • 2011Securitized banking and the run on repo1,708 cited
  • 2005Asset Fire Sales (and Purchases) in Equity Markets1,704 cited
  • 2010Contagion in financial networks1,143 cited
  • 2005Liquidity Risk and Contagion879 cited
  • 2011Fire Sales in Finance and Macroeconomics836 cited
  • 2011Complexity, concentration and contagion825 cited
  • 2002How Accurate Are Value‐at‐Risk Models at Commercial Banks?531 cited
  • 2014Vulnerable banks492 cited
  • 2002Market force, ecology and evolution480 cited
  • 2013Network Structure and Systemic Risk in Banking Systems474 cited
  • 2009Too Many to Fail? Evidence of Regulatory Forbearance When the Banking Sector Is Weak392 cited
  • 2014Stability analysis of financial contagion due to overlapping portfolios384 cited
  • 2014Repo Runs: Evidence from the Tri‐Party Repo Market368 cited
  • 2010Countercyclical Capital Buffers: Exploring Options361 cited

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