Systemic risk measures: the simpler the better?
In: Macroprudential regulation and policy
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This item is provided by Bank for International Settlements in its series BIS Papers chapters with number 60-04.
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- Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2010.
"Econometric Measures of Systemic Risk in the Finance and Insurance Sectors,"
in: Market Institutions and Financial Market Risk
National Bureau of Economic Research, Inc.
- Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2010. "Econometric Measures of Systemic Risk in the Finance and Insurance Sectors," NBER Working Papers 16223, National Bureau of Economic Research, Inc.
- Lehar, Alfred, 2005. "Measuring systemic risk: A risk management approach," Journal of Banking & Finance, Elsevier, vol. 29(10), pages 2577-2603, October.
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