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Backtesting global growth-at-Risk

Brownlees, Christian; Souza, André B. M. - In: Journal of monetary economics 118 (2021), pp. 312-330

Persistent link: https://www.econbiz.de/10012603779

VaR as a mitigating risk tool in the maritime sector : an empirical approach on freight rates

Charalampos, Basdekis; Ioannis, Katsampoxakis; … - In: Quantitative finance and economics 6 (2022) 2, pp. 158-176

Persistent link: https://www.econbiz.de/10013498885

Risk analysis using regression quantiles : evidence from international equity markets

Guo, Hongtao; Lam, Miranda S.; Wu, Guojun; Xiao, Zhijie - In: The international journal of business and finance … 7 (2013) 2, pp. 1-15

Persistent link: https://www.econbiz.de/10009675606

How macroeconomic conditions affect systemic risk in the short and long-run?

Kurter, Zeynep O. - 2022

Persistent link: https://www.econbiz.de/10013272025

Worldwide equity risk prediction

Ardia, David; Hoogerheide, Lennart F. - In: Applied economics letters 20 (2013) 13/15, pp. 1333-1339

Persistent link: https://www.econbiz.de/10010202894

Forecasting crude oil price volatility and value-at-risk : evidence from historical and recent data

Lux, Thomas; Segnon, Mawuli; Gupta, Rangan - In: Energy economics 56 (2016), pp. 117-133

Persistent link: https://www.econbiz.de/10011663878

Contagion risk for Australian banks from global systemically important banks : evidence from extreme events

Akhter, Selim; Daly, Kevin James - In: Economic modelling 63 (2017), pp. 191-205

Persistent link: https://www.econbiz.de/10011813475

Freight rate co-movement and risk spillovers in the product tanker shipping market : a copula analysis

Bai, Xiwen; Lam, Jasmine Siu Lee - In: Transportation research / E : an international journal 149 (2021), pp. 1-19

Persistent link: https://www.econbiz.de/10012520940

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

Credit and market risks measurement in carbon financing for Chinese banks

Zhang, Xi; Li, Jian - In: Energy economics 76 (2018), pp. 549-557

Persistent link: https://www.econbiz.de/10011976726

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