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SYSMO I : a systemic stress model for the Colombian financial system

Gamba, Santiago; Jaulín, Oscar; Lizarazo, Angélica; … - 2017

Persistent link: https://www.econbiz.de/10011869243

Quantifying systemic risk in Morocco's banking system using Euler indicators and extreme dependence

Said, Khalil; El Qalli, Yassine; Fadlallah, Abdellali - In: Cogent business & management 10 (2023) 3, pp. 1-19

This article contributes to the quantification of systemic risk within the Moroccan banking system, focusing on listed banks. We utilize indicators derived from Tail Value at Risk and expectiles risk measures, as introduced by El qalli and Said (2013) (El Qalli & Said, 2023), to measure the...

Persistent link: https://www.econbiz.de/10014505870

Extreme risk spillovers across financial markets under different crises

Cao, Yufei - In: Economic modelling 116 (2022), pp. 1-19

Persistent link: https://www.econbiz.de/10014512465

Performance of Value at Risk models in the midst of the global financial crisis in selected CEE emerging capital markets

Miletic, Mirjana; Miletic, Sinisa - In: Economic research 28 (2015) 1, pp. 132-166

Persistent link: https://www.econbiz.de/10012220692

Financial tail risks in conventional and Islamic stock markets : a comparative analysis

Muteba Mwamba, John; Hammoudeh, Shawkat; Gupta, Rangan - In: Pacific-Basin finance journal 42 (2017), pp. 60-82

Persistent link: https://www.econbiz.de/10011800542

Dynamic expected shortfall : a spectral decomposition of tail risk across time horizons

Bu, Di; Liao, Yin; Shi, Jing; Peng, Hongfeng - In: Journal of economic dynamics & control 108 (2019), pp. 1-15

Persistent link: https://www.econbiz.de/10012313627

Research on China's financial systemic risk contagion under jump and heavy-tailed risk

Gong, Xiao-Li; Liu, Xi-Hua; Xiong, Xiong; Zhang, Wei - In: International review of financial analysis 72 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012437236

Influential risk spreaders and systemic risk in Chinese financial networks

Yang, Ming-Yuan; Wu, Zhen-Guo; Wu, Xin; Li, Sai-Ping - In: Emerging markets review 60 (2024), pp. 1-21

Persistent link: https://www.econbiz.de/10014533619

Taking the Risk Out of Systemic Risk Measurement

Guntay, Levent; Kupiec, Paul - 2014

Conditional value at risk (CoVaR) and marginal expected shortfall (MES) have been proposed as measures of systemic risk. Some argue these statistics should be used to impose a “systemic risk tax” on financial institutions. These recommendations are premature because CoVaR and MES are ad hoc...

Persistent link: https://www.econbiz.de/10014150174

Systemically important financial institutions in China : from view of tail risk spillover network

Yang, Xin; Chen, Shan; Liu, Zhifeng; Yang, Xiaoguang; … - In: Applied economics letters 29 (2022) 19, pp. 1833-1839

Persistent link: https://www.econbiz.de/10013412314