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Do measures of systemic risk predict U.S. corporate bond default rates?

Kanas, Angelos; Molyneux, Philip - In: International review of financial analysis 71 (2020), pp. 1-14

Persistent link: https://www.econbiz.de/10012437165

The impact of liquidity risk in the Chinese banking system on the global commodity markets

Jo, Yonghwan; Kim, Jihee; Santos, Francisco - In: Journal of empirical finance 66 (2022), pp. 23-50

Persistent link: https://www.econbiz.de/10013370586

Regulatory interventions in the US oil and gas sector : how do the stock markets perceive the CFTC's announcements during the 2008 financial crisis?

Berk, Istemi; Rauch, Jannes - In: Energy economics 54 (2016), pp. 337-348

Persistent link: https://www.econbiz.de/10011662958

The Tsunami : measures of contagion in the 2007 - 2008 credit crunch : financial crisis (Focus)

Dungey, Mardi H. - In: CESifo forum : a bi-monthly journal on European … 9 (2008) 4, pp. 33-43

Persistent link: https://www.econbiz.de/10003792704

Measuring systemic risk : a factor-augmented correlated default approach

Suh, Sangwon - In: Journal of financial intermediation 21 (2012) 2, pp. 341-358

Persistent link: https://www.econbiz.de/10009708412

Measuring the Propagation of Financial Distress with Granger-Causality Tail Risk Networks

Corsi, Fulvio - 2018

Using the test of Granger-causality in tail of Hong et al. (2009), we define and construct Granger-causality tail risk networks between 33 systemically important banks (G-SIBs) and 36 sovereign bonds worldwide. Our purpose is to exploit the structure of the Granger-causality tail risk networks...

Persistent link: https://www.econbiz.de/10012937423

CoRisk : Measuring Systemic Risk Through Default Probability Contagion

Giudici, Paolo - 2016

We propose a novel systemic risk measurement model based on stochastic processes, correlation networks and conditional …

Persistent link: https://www.econbiz.de/10012990765

Convenient Liquidity Measure for Financial Markets

Danyliv, Oleh - 2014

A liquidity measure based on consideration and price range is proposed. Initially defined for daily data, Liquidity … liquidity measure based on weighted average bid-ask spread is established.Using this liquidity measure, an elementary liquidity … algebra is possible: from the estimation of the execution cost, the liquidity of a basket of instruments is obtained. A …

Persistent link: https://www.econbiz.de/10013060043

Forecasting multiple-term structures from interbank rates

Lafuente, Juan Angel; Petit, Nuria; Serrano, Pedro - In: International review of financial analysis 57 (2018), pp. 40-56

Persistent link: https://www.econbiz.de/10012006308

Micro-assessment of macroprudential borrower-based measures in Lithuania

Dirma, Mantas; Karmelavičius, Jaunius - 2023

Persistent link: https://www.econbiz.de/10013502304

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