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Nonparametric factor analytic risk measurement in common stocks in financial firms : evidence from Korean firms

Baek, Seungho; Cursio, Joseph D.; Cha, Seung Y. - In: Asia-Pacific journal of financial studies 44 (2015) 4, pp. 497-536

Persistent link: https://www.econbiz.de/10011470947

A vine-copula conditional value-at-risk approach to systemic sovereign debt risk for the financial sector

Reboredo, Juan Carlos; Ugolini, Andrea - In: The North American journal of economics and finance : a … 32 (2015), pp. 98-123

Persistent link: https://www.econbiz.de/10011514449

Capturing information contagion in a stress-testing framework

Anand, Kartik; Gauthier, Céline; Gai, Prasanna; … - 2016

We develop an operational model of information contagion and show how it may be integrated into a mainstream, top-down, stress-testing framework to quantify systemic risk. The key transmission mechanism is a two-way interaction between the beliefs of secondary market investors and the...

Persistent link: https://www.econbiz.de/10011520642

Assessing the Basel II internal ratings-based approach : empirical evidence from Australia

Tarca, Silvio; Rutkowski, Marek - In: Journal of financial regulation and compliance : an … 24 (2016) 2, pp. 106-139

Persistent link: https://www.econbiz.de/10011563824

Governance, crash risk, and systemic risk : evidence from large US banks

Dewally, Michaël; Flaherty, Susan M. V.; Shao, Yingying - In: International journal of corporate governance : IJCG 5 (2014) 3/4, pp. 133-155

Persistent link: https://www.econbiz.de/10010470594

A new macroprudential tool to assess sources of financial risks : implied-systemic cost of risks

Conciarelli, Alessandro - In: International journal of finance & economics : IJFE 19 (2014) 1, pp. 74-88

Persistent link: https://www.econbiz.de/10010472041

Securitization and the dark side of diversification

Oordt, Maarten R. C. van - In: Journal of financial intermediation 23 (2014) 2, pp. 214-231

Persistent link: https://www.econbiz.de/10010473602

Systemic risk and bank business models

Oordt, Maarten van; Chen Zhou - 2014

Persistent link: https://www.econbiz.de/10010415448

Market discipline and bank risk taking

Hoang, Khoa T. A.; Faff, Robert W.; Haq, Mamiza - In: Australian journal of management 39 (2014) 3, pp. 327-350

Persistent link: https://www.econbiz.de/10010422040

Financial derivatives, opacity, and crash risk : evidence from large US banks

Dewally, Michaël; Shao, Yingying - In: Journal of financial stability 9 (2013) 4, pp. 565-577

Persistent link: https://www.econbiz.de/10010424080

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