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Measuring and testing for the systemically important financial institutions
Castro, Carlos; Ferrari, Stijn - 2012
/ranking systemically important institutions and assessing interconnectedness. We develop a test of significance of Delta CoVaR that allows …
Persistent link: https://www.econbiz.de/10011506748
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Measuring and Testing for the Systemically Important Financial Institutions
Castro, Carlos - 2012
/ranking systemically important institutions and assessing interconnectedness. We develop a test of significance of Delta CoVaR that allows …
Persistent link: https://www.econbiz.de/10013099433
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Measuring and testing for the systemically important financial institutions
Castro, Carlos; Ferrari, Stijn - In: Journal of empirical finance 25 (2014), pp. 1-14
Persistent link: https://www.econbiz.de/10010462114
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Measuring and testing for the systemically important financial institutions
Castro, Carlos; Ferrari, Stijn - Nationale Bank van België/Banque national de Belqique (BNB) - 2012
/ranking systemically important institutions and assessing interconnectedness. We develop a test of significance of Delta CoVaR that allows …
Persistent link: https://www.econbiz.de/10011272804
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Measuring and testing for the systemically important financial institutions
Castro, Carlos; Ferrari, Stijn - In: Journal of Empirical Finance 25 (2014) C, pp. 1-14
This paper analyzes ΔCoVaR proposed by Adrian and Brunnermeier (2011) as a tool for identifying/ranking systemically important institutions. We develop a test of significance of ΔCoVaR that allows determining whether or not a financial institution can be classified as being systemically...
Persistent link: https://www.econbiz.de/10011042127
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Measuring and testing for the systemically important financial institutions
Castro Iragorri, Carlos Alberto; Ferrari, Stijn - 2012
Persistent link: https://www.econbiz.de/10009664893
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Systemic risk spillovers in the European banking and sovereign network
Betz, Frank; Hautsch, Nikolaus; Peltonen, Tuomo; … - 2014
-stage fixed-effects quantile approach, which explicitly links bank interconnectedness to systemic risk contributions. The … equity and CDS prices. We provide new evidence on how banking sector fragmentation and sovereign-bank linkages evolved over …
Persistent link: https://www.econbiz.de/10010411283
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Systemic risk spillovers in the European banking and sovereign network
Betz, Frank; Hautsch, Nikolaus; Peltonen, Tuomo; … - 2016
penalized two-stage fixed-effects quantile approach, which explicitly links time-varying interconnectedness to systemic risk … sector fragmentation and sovereign-bank linkages evolved over the European sovereign debt crisis, and how they are reflected …
Persistent link: https://www.econbiz.de/10011414705
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Systemic Risk Spillovers in the European Banking and Sovereign Network
Betz, Frank - 2014
-stage fixed-effects quantile approach, which explicitly links bank interconnectedness to systemic risk contributions. The … equity and CDS prices. We provide new evidence on how banking sector fragmentation and sovereign-bank linkages evolved over …
Persistent link: https://www.econbiz.de/10013046470
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Measuring systemic risk of china's listed banks
Zhang, Ping; Wang, Yiru; Zhao, Min; Yang, Tzu-Yi - In: Financial studies 25 (2021) 3, pp. 6-29
After the financial crisis in 2008, the world becamemore aware of the importance of the systemic risk. Within China's financial system, commercial banks have a dominant position. Therefore, the study of systemic risk of the banking industry in China has an important and real meaning. The present...
Persistent link: https://www.econbiz.de/10012664694