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Systemic risk components and deposit insurance premia
16 references·1 citing·42 second hop
Systemic risk components and deposit insurance premia (2012)Systemic risk components and deposit insu…Systemic Risk Contributions (2011)Systemic Risk ContributionsCoVaR (2011)CoVaRMeasuring Systemic Risk (2010)Measuring Systemic RiskSlapped in the Face by the Invisible Hand: Banking and the Panic of 2007 (2009)Slapped in the Face by the In…A framework for assessing the systemic risk of major financial institutions (2009)A framework for assessing the…Polynomial calculation of the Shapley value based on sampling (2008)Polynomial calculation of the…Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …Risk Assessment for Banking Systems (2006)Risk Assessment for Banking S…Measuring systemic risk: A risk management approach (2005)Measuring systemic risk: A ri…Liquidity Risk and Contagion (2005)Liquidity Risk and ContagionStochastic Finance (2004)Stochastic FinanceMonte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…Stochastic Finance: An Introduction in Discrete Time (2002)Stochastic Finance: An Introd…Liquidity Shortages and Banking Crises (2002)Liquidity Shortages and Banki…Systemic Risk in Financial Systems (2001)Systemic Risk in Financial Sy…Coherent allocation of risk capital (2001)Coherent allocation of risk c…Application of systemic risk measurement methods: A systematic review and meta-analysis using a network approach (2018)Application of systemic risk …17. A Value for n-Person Games (1953)A value for n -person games (1988)On the Complexity of Cooperative Solution Concepts (1994)Attributing Systemic Risk to Individual Institutions (2010)A Marketplace for Data (2019)The Shapley Value in Machine Learning (2022)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Modeling and Forecasting Realized Volatility (2003)How does competition affect bank systemic risk? (2013)Network Structure and Systemic Risk in Banking Systems (2013)Bank size, capital, and systemic risk: Some international evidence (2015)Bank Runs, Deposit Insurance, and Liquidity (1983)Financial Intermediation and Delegated Monitoring (1984)Financial Intermediation, Loanable Funds, and The Real Sector (1997)Has Finance Made the World Riskier? (2006)A theory of systemic risk and design of prudential bank regulation (2009)Credit Rationing in Markets with Imperfect Information (1981)Continuous Auctions and Insider Trading (1985)Liquidity and leverage (2008)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)A comparative analysis of current credit risk models (2000)Systemic Risk, Interbank Relations, and Liquidity Provision by the Central Bank (2000)Assessing financial contagion in the interbank market: Maximum entropy versus observed interbank lending patterns (2010)Simulation methods to assess the danger of contagion in interbank markets (2010)How likely is contagion in financial networks? (2014)Generalized deviations in risk analysis (2005)Utility maximization in incomplete markets (2005)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)Contagion in financial networks (2010)Financial Networks and Contagion (2014)A Climate Stress-Test of the Financial System (2016)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)Coherent multiperiod risk adjusted values and Bellman’s principle (2006)AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT (2007)Robustness and sensitivity analysis of risk measurement procedures (2010)
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References

  • 2008Market Liquidity and Funding Liquidity5,007 cited
  • 2003Monte Carlo Methods in Financial Engineering3,818 cited
  • 2001Systemic Risk in Financial Systems1,364 cited
  • 2002Stochastic Finance: An Introduction in Discrete Time1,190 cited
  • 2005Liquidity Risk and Contagion879 cited
  • 2002Liquidity Shortages and Banking Crises877 cited
  • 2004Stochastic Finance701 cited
  • 2009A framework for assessing the systemic risk of major financial institutions638 cited
  • 2006Risk Assessment for Banking Systems636 cited
  • 2008Polynomial calculation of the Shapley value based on sampling601 cited
  • 2011CoVaR546 cited
  • 2005Measuring systemic risk: A risk management approach527 cited
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  • 2009Slapped in the Face by the Invisible Hand: Banking and the Panic of 2007330 cited

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Application of systemic risk measurement methods: A systematic review and meta-analysis using a network approach
27 cited