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(Simple) ΔCoVaR bounds
Mercadier, Mathieu; Strobel, Frank - In: Applied economics letters 30 (2023) 14, pp. 1874-1881
Persistent link: https://www.econbiz.de/10014305372
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A review of individual and systemic risk measures in terms of applicability for banking regulations
Sum, Katarzyna - In: Contemporary economics 10 (2016) 1, pp. 71-82
the main challenges for regulators in terms of bank risk measurement. The study shows that substantial challenges for … discussion concerning proper risk measurement in regulatory frameworks, such as the Basel Accord or the European Banking …The latest financial crisis has exposed substantial weaknesses in the bank risk models used by national regulators as …
Persistent link: https://www.econbiz.de/10011452984
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An axiomatic approach to systemic risk
Chen, Chen; Iyengar, Garud; Moallemi, Ciamac C. - In: Management science : journal of the Institute for … 59 (2013) 6, pp. 1373-1388
Persistent link: https://www.econbiz.de/10009777035
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Dual representations for systemic risk measures
Ararat, Çağın; Rudloff, Birgit - In: Mathematics and financial economics 14 (2020) 1, pp. 139-174
Persistent link: https://www.econbiz.de/10012239989
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Systemic tail risk distribution
Bienvenüe, Alexis; Robert, Christian Yann - In: Annals of economics and statistics 123/124 (2016), pp. 29-52
Persistent link: https://www.econbiz.de/10011592732
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Backtesting marginal expected shortfall and related systemic risk measures
Banulescu-Radu, Denisa; Hurlin, Christophe; Leymarie, … - In: Management science : journal of the Institute for … 67 (2021) 9, pp. 5730-5754
Persistent link: https://www.econbiz.de/10012650157
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Probability equivalent level for CoVaR and VaR
Ortega-Jiménez, Patricia; Pellerey, Franco; Sordo, … - In: Insurance : mathematics and economics 115 (2024), pp. 22-35
Persistent link: https://www.econbiz.de/10015066724
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Probabilistic approach to measuring early-warning signals of systemic contagion risk
Hui, Cho H.; Lo, Chi-Fai; Zheng, Xiao-Fen; Fong, Tom - In: International journal of financial engineering 5 (2018) 2, pp. 1-25
Persistent link: https://www.econbiz.de/10011922985
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Stress testing bank insolvency risk by systemic equity market shock : an expected shortfall approach
Yang, Hank Z. - In: Journal of risk management in financial institutions 16 (2022/2023) 3, pp. 211-227
Persistent link: https://www.econbiz.de/10014320203
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Ranking consistency of systemic risk measures : a simulation-based analysis in a banking network model
Grundke, Peter - In: Review of quantitative finance and accounting 52 (2019) 4, pp. 953-990
Persistent link: https://www.econbiz.de/10012172866