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Measuring systemic risk contribution of global stock markets : a dynamic tail risk network approach

Wang, Ze; Gao, Xiangyun; Huang, Shupei; Sun, Qingru; … - In: International review of financial analysis 84 (2022), pp. 1-16

Persistent link: https://www.econbiz.de/10013472796

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

The case for CASE : estimating heterogeneous systemic effects

Du, Zaichao; Escanciano, Juan Carlos; Zhu, Guangwei - In: Journal of banking & finance 157 (2023), pp. 1-10

Persistent link: https://www.econbiz.de/10014490722

Tail risk contagion across electricity markets in crisis periods

Abdullah, Mohammad; Abakah, Emmanuel Joel Aikins; … - In: Energy economics 127 (2023) 2, pp. 1-23

Persistent link: https://www.econbiz.de/10014490825

Does systemic risk affect fund managers' tail risk-taking?

Xuan, Quansheng; Li, Zhiyong; Zhao, Tianyu - In: Pacific-Basin finance journal 83 (2024), pp. 1-24

Persistent link: https://www.econbiz.de/10014491185

Impact of systemic risk regulation on optimal policies and asset prices

Bernard, Carole; Cui, Xuecan - In: Journal of banking & finance 154 (2023), pp. 1-17

Persistent link: https://www.econbiz.de/10014491945

Identifying systemic risk of assets during international financial crises using Value at Risk elasticities

Borer, Daniel; Perera, Devmali; Fitriya Fauzi; Chau … - In: International review of financial analysis 90 (2023), pp. 1-11

Persistent link: https://www.econbiz.de/10014469916

ESG tail risk : the Covid-19 market crash analysis

Lashkaripour, Mohammadhossein - In: Finance research letters 53 (2023), pp. 1-8

Persistent link: https://www.econbiz.de/10014472312

How does bubble risk propagate among financial assets? : a perspective from the BSADF-vine copula model

Yao, Can-Zhong; Li, Min-Jian; Xu, Xin - In: International review of economics & finance : IREF 88 (2023), pp. 347-364

Persistent link: https://www.econbiz.de/10014475372

Modelling risk-weighted assets : looking beyond stress tests

Švéda, Josef; Panoš, Jiří; Siuda, Vojtěch - 2024

We propose an improved methodology for modelling potential scenario paths of banks' riskweighted assets, which drive the denominator of capital adequacy ratios. Our approach centres on modelling the internal risk structure of bank portfolios and thus aims to provide more accurate estimations...

Persistent link: https://www.econbiz.de/10014495257

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