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Testing macroprudential stress tests : the risk of regulatory risk weights

Acharya, Viral V.; Engle, Robert F.; Pierret, Diane - 2014

Persistent link: https://www.econbiz.de/10010341259

Systemic risk in the financial system : capital shortfalls under Brexit, the US elections and the Italian referendum

Engle, Robert F.; Zazzara, Cristiano - In: The journal of credit risk : published quarterly by … 14 (2018) 4, pp. 97-120

Persistent link: https://www.econbiz.de/10012041807

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...

Persistent link: https://www.econbiz.de/10011975954

Systemic risk 10 years later

Engle, Robert F. - In: Annual review of financial economics 10 (2018), pp. 125-152

Persistent link: https://www.econbiz.de/10011959790

Comment on: "Testing macroprudential stress tests : the risk of regulatory risk weights"

Lucas, Deborah J. - In: Journal of monetary economics 65 (2014), pp. 54-56

Persistent link: https://www.econbiz.de/10010485269

Testing macroprudential stress tests : the risk of regulatory risk weights

Acharya, Viral V.; Engle, Robert F.; Pierret, Diane - In: Journal of monetary economics 65 (2014), pp. 36-53

Persistent link: https://www.econbiz.de/10010485270

Centralized clearing for credit derivatives

Acharya, Viral V.; Engle, Robert F.; Figlewski, Stephen; … - In: Restoring financial stability : how to repair a failed …, (pp. 251-268). 2009

Persistent link: https://www.econbiz.de/10003827517

Long-term skewness and systemic risk

Engle, Robert F. - In: Journal of financial econometrics : official journal of … 9 (2011) 3, pp. 437-468

Persistent link: https://www.econbiz.de/10009407870

Testing macroprudential stress tests : the risk of regulatory risk weights

Acharya, Viral V.; Engle, Robert F.; Pierret, Diane - 2013

Persistent link: https://www.econbiz.de/10009741443

Measuring systemic risk

Acharya, Viral V.; Brownlees, Christian; Engle, Robert F.; … - In: Managing and measuring risk : emerging global standards …, (pp. 65-98). 2012

Persistent link: https://www.econbiz.de/10009742628

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