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Assess the impact of asset price shocks on the banking system

Fang-Ying, Yuan - In: Quantitative financial risk management, (pp. 15-28). 2011

Persistent link: https://www.econbiz.de/10009301457

Alternativen der Risikosteuerung von Banken in Zeiten der Finanzkrise

Schmidt, Daniel - In: Kleine und mittlere Unternehmen : Finanz-, Wirtschafts- …, (pp. 105-123). 2011

Persistent link: https://www.econbiz.de/10008990911

A look back at the 2008 financial crisis : the disconnect between credit and market risks

Obi, Pat; Choi, Jeong-gil; Sil, Shomir - In: Finance a úvěr 60 (2010) 5, pp. 400-413

Persistent link: https://www.econbiz.de/10009009407

On the network topology of variance decompositions : measuring the connectedness of financial firms

Diebold, Francis X.; Yılmaz, Kamil - 2011

We propose several connectedness measures built from pieces of variance decompositions, and we argue that they provide natural and insightful measures of connectedness among financial asset returns and volatilities. We also show that variance decompositions define weighted, directed networks, so...