Bartram, Söhnke M.; Brown, Gregory W.; Hund, John E. - Volkswirtschaftliche Fakultät, … - 2005
Using a unique and comprehensive dataset, this paper develops and uses three distinct methods to quantify the risk of a … estimates suggest that systemic risk is limited even during major financial crises. For example, maximum likelihood estimation … probability of systemic failure. Third, we also obtain estimates of systemic risk implied by equity option prices of U.S. and …