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Tail risk measurement in crypto-asset markets
Ahelegbey, Daniel Felix; Giudici, Paolo; Mojtahedi, Fatemeh - In: International review of financial analysis 73 (2021), pp. 1-12
Persistent link: https://www.econbiz.de/10012803601
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Measuring systemic risk via GAS models and extreme value theory : revisiting the 2007 financial crisis
Gavronski, Pedro Gerhardt; Ziegelmann, Flavio A. - In: Finance research letters 38 (2021), pp. 1-8
Persistent link: https://www.econbiz.de/10012490211
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Systematic extreme potential gain and loss spillover across countries
Bouaddi, Mohammed; Moutanabbir, Khouzeima - In: Risk management : an international journal 24 (2022) 4, pp. 327-366
Persistent link: https://www.econbiz.de/10013464190
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SinkRank : an algorithm for identifying systemically important banks in payment systems
Soramäki, Kimmo; Cook, Samantha - 2013
The ability to accurately estimate the extent to which the failure of a bank disrupts the financial system is very … of a bank in a payment system and identifies banks most affected by the failure. SinkRank is based on absorbing Markov … chains, which are well-suited to model liquidity dynamics in payment systems. Because actual bank failures are rare and the …
Persistent link: https://www.econbiz.de/10009759774
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Tail risk and systemic risk of US and Eurozone financial institutions in the wake of the global financial crisis
Straetmans, Stefan; Chaudhry, Sajid M. - In: Journal of international money and finance 58 (2015), pp. 191-223
Persistent link: https://www.econbiz.de/10011478260
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Tail risk and systemic risk of finance and technology (FinTech) firms
Chaudhry, Sajid M.; Ahmed, Rizwan; Toan Luu Duc Huynh; … - In: Technological forecasting & social change : an … 174 (2022), pp. 1-11
Persistent link: https://www.econbiz.de/10013209636
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Contagion risk in global banking sector
Daly, Kevin James; Batten, Jonathan A.; Mishra, Anil V.; … - In: Journal of international financial markets, … 63 (2019), pp. 1-19
Persistent link: https://www.econbiz.de/10012263308
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Contagion risk for Australian banks from global systemically important banks : evidence from extreme events
Akhter, Selim; Daly, Kevin James - In: Economic modelling 63 (2017), pp. 191-205
Persistent link: https://www.econbiz.de/10011813475
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Financial structure and determinants of systemic risk contribution
Qin, Xiao; Zhou, Chunyang - In: Pacific-Basin finance journal 57 (2019), pp. 1-16
Persistent link: https://www.econbiz.de/10012170568
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The perennial challenge to abolish too-big-to-fail in banking : empirical evidence from the new international regulation dealing with global systemically important banks
Moenninghoff, Sebastian C.; Ongena, Steven; Wieandt, Axel - 2014
This paper provides evidence on how the new international regulation on Global Systemically Important Banks (G-SIBs) impacts the market value of large banks. We analyze the stock price reactions for the 300 largest banks from 52 countries across 12 relevant regulatory announcement and...
Persistent link: https://www.econbiz.de/10010412297