The paper presents an alternative approach to measuring systemic illiquidity applicable to countries with frontier and emerging financial markets, where other existing methods are not applicable. We develop a novel Systemic Illiquidity Noise (SIN)-based measure, using the Nelson- Siegel-Svensson...

The paper presents a new method that allows adding the environmental factor (the green factor) to systemic risk measurement, as existing systemic risk measures do not quantify this risk explicitly. We propose a method to extract the green factor from the environmental score (E-score) and augment...

The paper presents an alternative approach to measuring systemic illiquidity applicable to countries with frontier and emerging financial markets, where other existing methods are not applicable. We develop a novel Systemic Illiquidity Noise (SIN)-based measure, using the...

We investigate if all European IBOR rates are similarly susceptibile to turbulence as LIBOR rates. We also analyze systemic risk spillovers between different IBOR rates in Europe and between these rates and the studied banking systems between 2006 and now. We employ a set of innovations in...