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Measuring systemic risk in the European banking sector : a copula CoVaR approach
Karimalis, Emmanouil N.; Nomikos, Nikos K. - In: The European journal of finance 24 (2018) 10/12, pp. 944-975
Persistent link: https://www.econbiz.de/10012244423
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Networks and market-based measures of systemic risk : the European banking system in the aftermath of the financial crisis
Clemente, Gian Paolo; Grassi, Rosanna; Pederzoli, Chiara - In: Journal of economic interaction and coordination 15 (2020) 1, pp. 159-181
Persistent link: https://www.econbiz.de/10012226909
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Pitfalls in systemic-risk scoring
Benoit, Sylvain; Hurlin, Christophe; Pérignon, Christophe - In: Journal of financial intermediation 38 (2019), pp. 19-44
Persistent link: https://www.econbiz.de/10012269638
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Predicting European bank stress tests : survival of the fittest
Kolari, James W.; López Iturriaga, Felix J.; Sanz, … - In: Global finance journal 39 (2019), pp. 44-57
Persistent link: https://www.econbiz.de/10012257029
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Bank ownership, financial segments and the measurement of systemic risk : an application of CoVaR
Drakos, Anastassios A.; Kouretas, Georgios P. - In: International review of economics & finance : IREF 40 (2015), pp. 127-140
Persistent link: https://www.econbiz.de/10011573568
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What is the systemic risk exposure of financial institutions?
Sedunov, John - In: Journal of financial stability 24 (2016), pp. 71-87
Persistent link: https://www.econbiz.de/10011704105
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Systemic risk of European financial institutions : estimation and ranking by the Marginal Expected Shortfall
Derbali, Abdelkader; Hallara, Slaheddine - In: Research in international business and finance 37 (2016), pp. 113-134
Persistent link: https://www.econbiz.de/10011595136
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Optimal intervention under stress scenarios : a case of the Korean financial system
Ahn, Dohyun; Kim, Kyoung-Kuk - In: Operations research letters 47 (2019) 4, pp. 257-263
Persistent link: https://www.econbiz.de/10012103260
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Systemic risk network of Chinese financial institutions
Fang, Libing; Sun, Boyang; Li, Huijing; Yu, Honghai - In: Emerging markets review 35 (2018), pp. 190-206
Persistent link: https://www.econbiz.de/10012114737
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Macroprudential stress test of the euro area banking system
Budnik-Gałązka, Katarzyna; Mozzanica, Mirco Balatti; … - 2019
This paper presents an approach to a macroprudential stress test for the euro area banking system, comprising the 91 largest euro area credit institutions across 19 countries. The approach involves modelling banks'reactions to changing economic conditions. It also examines the effects of adverse...
Persistent link: https://www.econbiz.de/10012033284