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Backtesting marginal expected shortfall and related systemic risk measures
Banulescu-Radu, Denisa; Hurlin, Christophe; Leymarie, … - In: Management science : journal of the Institute for … 67 (2021) 9, pp. 5730-5754
Persistent link: https://www.econbiz.de/10012650157
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An axiomatic approach to systemic risk
Chen, Chen; Iyengar, Garud; Moallemi, Ciamac C. - In: Management science : journal of the Institute for … 59 (2013) 6, pp. 1373-1388
Persistent link: https://www.econbiz.de/10009777035
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The impact of sovereign shocks
Manzo, Gerardo; Picca, Antonio - In: Management science : journal of the Institute for … 66 (2020) 7, pp. 3113-3132
Persistent link: https://www.econbiz.de/10012268637
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Systemic risk : what defaults are telling us
Giesecke, Kay; Kim, Baeho - In: Management science : journal of the Institute for … 57 (2011) 8, pp. 1387-1405
Persistent link: https://www.econbiz.de/10009297011
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Market discipline and systemic risk
Morrison, Alan; Walther, Ansgar - In: Management science : journal of the Institute for … 66 (2020) 2, pp. 764-782
Persistent link: https://www.econbiz.de/10012213231
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Bank interest rate risk management
Vuillemey, Guillaume - In: Management science : journal of the Institute for … 65 (2019) 12, pp. 5933-5956
Persistent link: https://www.econbiz.de/10012146909
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Strategic selection of risk models and bank capital regulation
Colliard, Jean-Edouard - In: Management science : journal of the Institute for … 65 (2019) 6, pp. 2591-2606
Persistent link: https://www.econbiz.de/10012039818
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Incentive-based capital requirements
Eufinger, Christian; Gill, Andrej - In: Management science : journal of the Institute for … 63 (2017) 12, pp. 4101-4113
Persistent link: https://www.econbiz.de/10011785128
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Credit risk spillovers among financial institutions around the global credit crisis : firm-level evidence
Yang, Jian; Zhou, Yinggang - In: Management science : journal of the Institute for … 59 (2013) 10, pp. 2343-2359
Persistent link: https://www.econbiz.de/10010202770
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Quantitative easing and volatility spillovers across countries and asset classes
Yang, Zihui; Zhou, Yinggang - In: Management science : journal of the Institute for … 63 (2017) 2, pp. 333-354
Persistent link: https://www.econbiz.de/10011647326