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Stress testing bank insolvency risk by systemic equity market shock : an expected shortfall approach
Yang, Hank Z. - In: Journal of risk management in financial institutions 16 (2022/2023) 3, pp. 211-227
Persistent link: https://www.econbiz.de/10014320203
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A review of individual and systemic risk measures in terms of applicability for banking regulations
Sum, Katarzyna - In: Contemporary economics 10 (2016) 1, pp. 71-82
the main challenges for regulators in terms of bank risk measurement. The study shows that substantial challenges for … discussion concerning proper risk measurement in regulatory frameworks, such as the Basel Accord or the European Banking …
Persistent link: https://www.econbiz.de/10011452984
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Systemic risk : what defaults are telling us
Giesecke, Kay; Kim, Baeho - In: Management science : journal of the Institute for … 57 (2011) 8, pp. 1387-1405
Persistent link: https://www.econbiz.de/10009297011
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Systemic risk measures : DistVaR and other "too big to fail" risk measures
Klyman, Jared - 2011
Persistent link: https://www.econbiz.de/10011949717
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What kind of systemic risks do we face in the European banking sector? : the approach of CoVaR measure
Karkowska, Renata - In: Folia oeconomica Stetinensia : FOS 14 (2014) 2, pp. 114-139
Persistent link: https://www.econbiz.de/10011419194
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A simple method for measuring systemic risk using credit default swap market data
Suh, Sangwon; Jang, Inwon; Ahn, Misun - In: Journal of economic development 38 (2013) 4, pp. 75-100
Persistent link: https://www.econbiz.de/10010231840
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Measurement of systemic risk in the Colombian banking sector
Rivera-Escobar, Orlando; Escobar, John Willmer; … - In: Risks : open access journal 10 (2022) 1, pp. 1-27
This paper uses three methodologies for measuring the existence of systemic risk in the Colombian banking system. The determination of its existence is based on implementing three systemic risk measures widely referenced in academic works after the subprime crisis, known as CoVaR, MES and SRISK....
Persistent link: https://www.econbiz.de/10012805886
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Backtesting marginal expected shortfall and related systemic risk measures
Banulescu-Radu, Denisa; Hurlin, Christophe; Leymarie, … - In: Management science : journal of the Institute for … 67 (2021) 9, pp. 5730-5754
Persistent link: https://www.econbiz.de/10012650157
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An axiomatic approach to systemic risk
Chen, Chen; Iyengar, Garud; Moallemi, Ciamac C. - In: Management science : journal of the Institute for … 59 (2013) 6, pp. 1373-1388
Persistent link: https://www.econbiz.de/10009777035
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Systematic systemic stress tests
Breuer, Thomas; Summer, Martin - 2018
Persistent link: https://www.econbiz.de/10011984002