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TRC Networks and Systemic Risk
Lo, Andrew W. - 2019
We introduce a new approach for identifying and monitoring systemic risk that combines network analysis and tail risk contribution (TRC). Network analysis provides great flexibility in representing and exploring linkages between institutions, but can be overly general in describing the risk...
Persistent link: https://www.econbiz.de/10012903751
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The minimum balance at risk : a proposal to mitigate the systemic risks posed by money market funds
McCabe, Patrick E.; Cipriani, Marco; Holscher, Michael; … - In: Brookings papers on economic activity : BPEA (2013) 1, pp. 211-278
Persistent link: https://www.econbiz.de/10010257902
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Money Market Funds (MMFs) and the Covid-19 pandemic : has the MMLF benefited money markets?
Apergēs, Nikolaos - In: Finance research letters 46 (2022) 1, pp. 1-5
Persistent link: https://www.econbiz.de/10013341325
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Network quantile autoregression
Zhu, Xuening; Wang, Weining; Wang, Hansheng; Härdle, … - In: Journal of econometrics 212 (2019) 1, pp. 345-358
Persistent link: https://www.econbiz.de/10012303979
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Network effects on risk co-movements : a network quantile autoregression-based analysis
Chen, Yu; Gao, Yu; Shu, Lei; Zhu, Xiaonan - In: Finance research letters 56 (2023), pp. 1-9
Persistent link: https://www.econbiz.de/10014473650
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Shadow insurance? : money market fund investors and bank sponsorship
Jacewitz, Stefan; Unal, Haluk; Wu, Chengjun - 2021
Persistent link: https://www.econbiz.de/10012628915
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Systemic risk
Hauptmann, Johannes; Zagst, Rudi - In: Quantitative financial risk management, (pp. 321-338). 2011
Persistent link: https://www.econbiz.de/10009301403
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Market BuVaR : a countercyclical risk metric
Wong, Max - In: Journal of risk management in financial institutions 4 (2010/11) 3, pp. 419-432
Persistent link: https://www.econbiz.de/10009508301
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The strategic under-reporting of bank risk
Begley, Taylor A.; Purnanandam, Amiyatosh; Zheng, Kuncheng - 2015 - This draft: April 30, 2015
Persistent link: https://www.econbiz.de/10011285310
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Financial network systemic risk contributions
Hautsch, Nikolaus; Schaumburg, Julia; Schienle, Melanie - In: Review of finance : journal of the European Finance … 19 (2015) 2, pp. 685-738
Persistent link: https://www.econbiz.de/10011373347