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Measuring systemic risk contagion effect of the banking industry in China : a directed network approach
Ouyang, Zi-Sheng; Huang, Ying; Jia, Yun; Luo, Chang-Qing - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 6, pp. 1312-1335
Persistent link: https://www.econbiz.de/10012211637
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Volatility connectedness of bank stocks across the Atlantic
Yılmaz, Kamil - 2014
This paper presents an analysis of the dynamic measures of volatility connectedness of major bank stocks in the US and …
Persistent link: https://www.econbiz.de/10010239322
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Pandemic crises in financial systems : a simulation-model to complement stresstesting frameworks
Idier, Julien; Piquard, Thibaut - 2017
Persistent link: https://www.econbiz.de/10011647278
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Measuring Systemic Risk and Contagion in Financial Networks
Pokutta, Sebastian - 2011
Liabilities between financial entities form a network. The clearing of liabilities and thereby contagion of risk and … default depend on this network structure. We provide an accurate and unrestricted mathematical model to understand clearing …
Persistent link: https://www.econbiz.de/10013129042
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A commentary on "measuring systemic risk"
DeYoung, Robert - In: Journal of financial services research : JFSR 42 (2012) 1/2, pp. 109-114
Persistent link: https://www.econbiz.de/10009714809
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Measuring systemic risk with regime switching in tails
Liu, Xiaochun - In: Economic modelling 67 (2017), pp. 55-72
Persistent link: https://www.econbiz.de/10011813772
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Financial stability in networks of financial institutions and market infrastructures
Berndsen, Ron; León, Carlos; Renneboog, Luc - In: Journal of financial stability 35 (2018), pp. 120-135
Persistent link: https://www.econbiz.de/10012156854
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Identifying systemically important financial institutions : a network approach
Rovira Kaltwasser, Pablo; Spelta, Alessandro - In: Computational Management Science : CMS 16 (2019) 1/2, pp. 155-185
Persistent link: https://www.econbiz.de/10011993457
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Dynamic identification of systemically important financial markets in the spread of contagion : a ripple network based collective spillover effect approach
Su, Zhi; Xu, Fuwei - In: Journal of multinational financial management 60 (2021), pp. 1-17
Persistent link: https://www.econbiz.de/10012794690
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Measuring systemic risk
Acharya, Viral V.; Pedersen, Lasse Heje; Philippon, Thomas - 2010
Persistent link: https://www.econbiz.de/10008729109