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The marginal cost of risk, risk measures, and capital allocation
Bauer, Daniel; Zanjani, George - In: Management science : journal of the Institute for … 62 (2016) 5, pp. 1431-1457
Persistent link: https://www.econbiz.de/10011487544
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Multiple risk measures for multivariate dynamic heavy-tailed models
Bernardi, Mauro; Maruotti, Antonello; Petrella, Lea - In: Journal of empirical finance 43 (2017), pp. 1-32
Persistent link: https://www.econbiz.de/10011817885
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Should SIFIs protect themselves from systemic risk?
Galizia, Federico - In: Journal of risk management in financial institutions 8 (2015) 1, pp. 27-33
Persistent link: https://www.econbiz.de/10010526461
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Basis risk, procyclicality, and systemic risk in the Solvency II equity risk module
Eling, Martin; Pankoke, David836228189 - 2013
Persistent link: https://www.econbiz.de/10010410034
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A dynamic contagion risk model with recovery features
Amini, Hamed; Minca, Andreea; Sulem, Agnès - In: Mathematics of operations research 47 (2022) 2, pp. 1412-1442
Persistent link: https://www.econbiz.de/10013365316
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The effect of structural risks on financial downturns
Hodula, Martin; Janků, Jan; Pfeifer, Lukáš - 2022
We investigate the extent to which various structural risks exacerbate the materialization of cyclical risk. We use a … role in explaining the severity of cyclical and credit risk materialization during financial cycle contractions. Among …
Persistent link: https://www.econbiz.de/10013391113
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Climate stress testing
Acharya, Viral V.; Berner, Richard B.; Engle, Robert F.; … - In: Annual review of financial economics 15 (2023), pp. 291-326
Persistent link: https://www.econbiz.de/10014426292
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Time-varying systemic risk : evidence from a dynamic copula model of CDS spreads
Oh, Dong Hwan; Patton, Andrew J. - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 2, pp. 181-195
Persistent link: https://www.econbiz.de/10011894575
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Filtering for risk assessment of interbank network
Simaan, Majeed; Gupta, Aparna; Kar, Koushik - In: European journal of operational research : EJOR 280 (2020) 1, pp. 279-294
Persistent link: https://www.econbiz.de/10012132392
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Dynamic conditional systemic risk measures
Radev, Deyan - In: Finance a úvěr 73 (2023) 2, pp. 106-133
Persistent link: https://www.econbiz.de/10014313193