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Systemic risk measures: the simpler the better?

In: Macroprudential regulation and policy

Citations

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Cited by:

  1. Thi Xuan Huong Tram & Nguyen Thi Thanh Hoai, 2021. "Effect of macroeconomic variables on systemic risk: Evidence from Vietnamese economy," Economics and Business Letters, Oviedo University Press, vol. 10(3), pages 217-228.
  2. Nicholas Apergis & Ahdi Noomen Ajmi, 2015. "Systemic Sovereign Risk and Asset Prices: Evidence from the CDS Market, Stressed European Economies and Nonlinear Causality Tests," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 65(2), pages 106-126, April.
  3. Bampinas, Georgios & Panagiotidis, Theodore & Politsidis, Panagiotis N., 2023. "Sovereign bond and CDS market contagion: A story from the Eurozone crisis," Journal of International Money and Finance, Elsevier, vol. 137(C).
  4. Antón, Miguel & Mayordomo, Sergio & Rodríguez‐Moreno, María, 2018. "Dealing with dealers: Sovereign CDS comovements," Journal of Banking & Finance, Elsevier, vol. 90(C), pages 96-112.
  5. Castro, Carlos & Ferrari, Stijn, 2014. "Measuring and testing for the systemically important financial institutions," Journal of Empirical Finance, Elsevier, vol. 25(C), pages 1-14.
  6. Davydov, Denis & Vähämaa, Sami & Yasar, Sara, 2021. "Bank liquidity creation and systemic risk," Journal of Banking & Finance, Elsevier, vol. 123(C).
  7. Christian Thimann, 2014. "How Insurers Differ from Banks: A Primer on Systemic Regulation," Working Papers halshs-01074933, HAL.
  8. Dicembrino, Claudio & Scandizzo, Pasquale Lucio, 2011. "Can portfolio diversification increase systemic risk? evidence from the U.S and European mutual funds market," MPRA Paper 33715, University Library of Munich, Germany.
  9. Mr. Ivailo Arsov & Mr. Elie Canetti & Ms. Laura E. Kodres & Ms. Srobona Mitra, 2013. "Near-Coincident Indicators of Systemic Stress," IMF Working Papers 2013/115, International Monetary Fund.
  10. Elena Kalotychou & Eli Remolona & Eliza Wu, 2014. "What Makes Systemic Risk Systemic? Contagion and Spillovers in the International Sovereign Debt Market," Working Papers 072014, Hong Kong Institute for Monetary Research.
  11. Arce, Oscar & Mayordomo, Sergio & Peña, Juan Ignacio, 2013. "Credit-risk valuation in the sovereign CDS and bonds markets: Evidence from the euro area crisis," Journal of International Money and Finance, Elsevier, vol. 35(C), pages 124-145.
  12. Stolbov, Mikhail, 2014. "The causal linkages between sovereign CDS prices for the BRICS and major European economies," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 8, pages 1-43.
  13. Mayordomo, Sergio & Rodriguez-Moreno, Maria & Peña, Juan Ignacio, 2014. "Derivatives holdings and systemic risk in the U.S. banking sector," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 84-104.
  14. Yun, Jaeho & Moon, Hyejung, 2014. "Measuring systemic risk in the Korean banking sector via dynamic conditional correlation models," Pacific-Basin Finance Journal, Elsevier, vol. 27(C), pages 94-114.
  15. Baumöhl, Eduard & Bouri, Elie & Hoang, Thi-Hong-Van & Hussain Shahzad, Syed Jawad & Výrost, Tomáš, 2022. "Measuring systemic risk in the global banking sector: A cross-quantilogram network approach," Economic Modelling, Elsevier, vol. 109(C).
  16. Maria Abascal & Tatiana Alonso & Sergio Mayordomo, 2013. "Fragmentation in European Financial Markets: Measures, Determinants, and Policy Solutions," Working Papers 1322, BBVA Bank, Economic Research Department.
  17. Alexandra Popescu & Camelia Turcu, 2014. "Systemic Sovereign Risk in Europe: an MES and CES Approach," Revue d'économie politique, Dalloz, vol. 124(6), pages 899-925.
  18. Varotto, Simone & Zhao, Lei, 2018. "Systemic risk and bank size," Journal of International Money and Finance, Elsevier, vol. 82(C), pages 45-70.
  19. Juan Ignacio Pe~na, 2019. "Credit Cycles, Securitization, and Credit Default Swaps," Papers 1901.00177, arXiv.org.
  20. Gong, Xiao-Li & Liu, Xi-Hua & Xiong, Xiong & Zhang, Wei, 2019. "Financial systemic risk measurement based on causal network connectedness analysis," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 290-307.
  21. Deng, Yang & Zhang, Ziqing & Zhu, Li, 2021. "A model-based index for systemic risk contribution measurement in financial networks," Economic Modelling, Elsevier, vol. 95(C), pages 35-48.
  22. Mohammed Bouaddi & Khouzeima Moutanabbir, 2022. "Systematic extreme potential gain and loss spillover across countries," Risk Management, Palgrave Macmillan, vol. 24(4), pages 327-366, December.
  23. Deyan Radev, 2012. "Systemic Risk, Banking and Sovereign Debt in the Euro Area," Working Papers 1207, Gutenberg School of Management and Economics, Johannes Gutenberg-Universität Mainz.
  24. Gorea, Denis & Radev, Deyan, 2014. "The euro area sovereign debt crisis: Can contagion spread from the periphery to the core?," International Review of Economics & Finance, Elsevier, vol. 30(C), pages 78-100.
  25. Wang, Ze & Gao, Xiangyun & Huang, Shupei & Sun, Qingru & Chen, Zhihua & Tang, Renwu & Di, Zengru, 2022. "Measuring systemic risk contribution of global stock markets: A dynamic tail risk network approach," International Review of Financial Analysis, Elsevier, vol. 84(C).
  26. Härdle, Wolfgang Karl & Wang, Weining & Yu, Lining, 2016. "TENET: Tail-Event driven NETwork risk," Journal of Econometrics, Elsevier, vol. 192(2), pages 499-513.
  27. Liu, Xiaochun, 2013. "Systemic Risk of Commercial Banks: A Markov-Switching Quantile Autoregression Approach," MPRA Paper 55801, University Library of Munich, Germany.
  28. Olivier de Bandt & Jean-Cyprien Héam & Claire Labonne & Santiago Tavolaro, 2015. "La mesure du risque systémique après la crise financière," Revue économique, Presses de Sciences-Po, vol. 66(3), pages 481-500.
  29. Wu, Eliza & Erdem, Magdalena & Kalotychou, Elena & Remolona, Eli, 2016. "The anatomy of sovereign risk contagion," Journal of International Money and Finance, Elsevier, vol. 69(C), pages 264-286.
  30. O. de Bandt & J.-C. Héam & C. Labonne & S. Tavolaro, 2013. "Measuring Systemic Risk in a Post-Crisis World," Débats économiques et financiers 6, Banque de France.
  31. Jaeho Yun & Hyejung Moon, 2013. "Measuring Systemic Risk in the Korean Banking Sector via Dynamic Conditional Correlation Models," Working Papers 2013-27, Economic Research Institute, Bank of Korea.
  32. Nguyen, Hoai Thi Thanh & Tram, Huong Thi Xuan & Nguyen, Linh Thi Thuy, 2023. "Interest rates and systemic risk:Evidence from the Vietnamese economy," The Journal of Economic Asymmetries, Elsevier, vol. 27(C).
  33. Denis Gorea & Deyan Radev, 2012. "The Determinants of Joint Sovereign Default Risk in the Euro Area," Working Papers 1208, Gutenberg School of Management and Economics, Johannes Gutenberg-Universität Mainz.
  34. Zhang, Weiping & Zhuang, Xintian & Wang, Jian & Lu, Yang, 2020. "Connectedness and systemic risk spillovers analysis of Chinese sectors based on tail risk network," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  35. Procasky, William J. & Yin, Anwen, 2023. "Identifying the true nature of price discovery and cross-market informational flow in the investment grade CDS and equity markets," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
  36. Mayordomo, Sergio & Abascal, María & Alonso, Tatiana & Rodriguez-Moreno, Maria, 2015. "Fragmentation in the European interbank market: Measures, determinants, and policy solutions," Journal of Financial Stability, Elsevier, vol. 16(C), pages 1-12.
  37. Gustavo Silva Araújo & José Valentim Machado Vicente, 2014. "Indicadores Antecedentes Extraídos de Preços de Ativos em Corte Transversal," Working Papers Series 361, Central Bank of Brazil, Research Department.
  38. Augustin, Patrick & Subrahmanyam, Marti G. & Tang, Dragon Yongjun & Wang, Sarah Qian, 2014. "Credit Default Swaps: A Survey," Foundations and Trends(R) in Finance, now publishers, vol. 9(1-2), pages 1-196, December.
  39. Yin, Libo & Feng, Jiabao & Han, Liyan, 2021. "Systemic risk in international stock markets: Role of the oil market," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 592-619.
  40. Radev, Deyan, 2013. "Systemic risk and sovereign debt in the Euro area," SAFE Working Paper Series 37, Leibniz Institute for Financial Research SAFE.
  41. Eita, Joel Hinaunye & Ngobese, Sibusiso Blessing & Muteba Mwamba, John Weirstrass, 2020. "An empirical analysis of systemic and macroeconomic risk in South Africa: an application of the quantile regression," MPRA Paper 101493, University Library of Munich, Germany.
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