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A practical guide to volatility forecasting through calm and storm

Brownlees, Christian; Engle, Robert F.; Kelly, Bryan T. - In: Journal of risk 14 (2011/12) 2, pp. 3-22

Persistent link: https://www.econbiz.de/10009422364

Back to the future : backtesting systemic risk measures during historical bank runs and the great depression

Brownlees, Christian; Chabot, Ben; Ghysels, Eric; Kurz, … - In: Journal of banking & finance 113 (2020), pp. 1-20

Persistent link: https://www.econbiz.de/10012226121

Back to the future : backtesting systemic risk measures during historical bank runs and the great depression

Brownlees, Christian; Chabot, Ben; Ghysels, Eric; Kurz, … - 2017

Persistent link: https://www.econbiz.de/10011717009

Impulse response estimation by smooth local projections

Barnichon, Régis; Brownlees, Christian - 2016

Persistent link: https://www.econbiz.de/10011606743

Impulse response estimation by smooth local projections

Barnichon, Regis; Brownlees, Christian - In: The review of economics and statistics 101 (2019) 3, pp. 522-530

Persistent link: https://www.econbiz.de/10012039436

Credit risk interconnectedness : What does the market really know?

Abbassi, Puriya; Brownlees, Christian; Hans, Christina; … - In: Journal of financial stability 29 (2017), pp. 1-12

Persistent link: https://www.econbiz.de/10011825576

Evaluating the accuracy of tail risk forecasts for systemic risk measurement

Brownlees, Christian; Cavaliere, Giuseppe; Monti, Alice - In: Annals of financial economics 13 (2018) 2, pp. 1-25

Persistent link: https://www.econbiz.de/10011931111

SRISK: a conditional capital shortfall measure of systemic risk

Brownlees, Christian; Engle, Robert F. - In: The review of financial studies 30 (2017) 1, pp. 48-79

Persistent link: https://www.econbiz.de/10011738007

Detecting granular time series in large panels

Brownlees, Christian; Mesters, Geert - 2017

Persistent link: https://www.econbiz.de/10011779238

SRISK : a conditional capital shortfall measure of systemic risk

Brownlees, Christian; Engle, Robert F. - 2017

We introduce SRISK to measure the systemic risk contribution of a financial firm. SRISK measures the capital shortfall of a firm conditional on a severe market decline, and is a function of its size, leverage and risk. We use the measure to study top US financial institutions in the recent...

Persistent link: https://www.econbiz.de/10011975954

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