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Co-movement among oil, stock, bond, and housing markets : an analysis of U.S., Asian, and European economies

Yunus, Nafeesa - In: International review of finance : the official journal … 23 (2023) 2, pp. 393-436

Persistent link: https://www.econbiz.de/10014326307

Analysis of the volatility's dependency structure during the subprime crisis

Arruda, Bruno P.; Pereira, Pedro L. Valls - In: Applied economics 45 (2013) 34/36, pp. 5031-5045

Persistent link: https://www.econbiz.de/10010225760

Measurement of systemic risk in the Colombian banking sector

Rivera-Escobar, Orlando; Escobar, John Willmer; … - In: Risks : open access journal 10 (2022) 1, pp. 1-27

This paper uses three methodologies for measuring the existence of systemic risk in the Colombian banking system. The determination of its existence is based on implementing three systemic risk measures widely referenced in academic works after the subprime crisis, known as CoVaR, MES and SRISK....

Persistent link: https://www.econbiz.de/10012805886

Time-varying systemic risk : evidence from a dynamic copula model of CDS spreads

Oh, Dong Hwan; Patton, Andrew J. - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 2, pp. 181-195

Persistent link: https://www.econbiz.de/10011894575

Financial stress and equilibrium dynamics in term interbank funding markets

Yoldas, Emre; Senyuz, Zeynep - In: Journal of financial stability 34 (2018), pp. 136-149

Persistent link: https://www.econbiz.de/10012156801

Measuring the systemic risk transfer from the United States to the South African financial sector

Foggitt, Gregory M.; Heymans, André; Van Vuuren, Gary - In: Applied economics 51 (2019) 27, pp. 2934-2944

Persistent link: https://www.econbiz.de/10012196765

SRISK : a conditional capital shortfall measure of systemic risk

Brownlees, Christian; Engle, Robert F. - 2017

We introduce SRISK to measure the systemic risk contribution of a financial firm. SRISK measures the capital shortfall of a firm conditional on a severe market decline, and is a function of its size, leverage and risk. We use the measure to study top US financial institutions in the recent...