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A New Risk Indicator and Stress Testing Tool: A Multifactor Nth-to-Default CDS Basket

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  1. repec:jes:wpaper:y:2013:v:5:p:535-547 is not listed on IDEAS
  2. Anginer, Deniz & Demirguc-Kunt, Asli & Zhu, Min, 2014. "How does competition affect bank systemic risk?," Journal of Financial Intermediation, Elsevier, vol. 23(1), pages 1-26.
  3. Xin Huang & Hao Zhou & Haibin Zhu, 2012. "Systemic Risk Contributions," Journal of Financial Services Research, Springer;Western Finance Association, vol. 42(1), pages 55-83, October.
  4. Huang, Xin & Zhou, Hao & Zhu, Haibin, 2009. "A framework for assessing the systemic risk of major financial institutions," Journal of Banking & Finance, Elsevier, vol. 33(11), pages 2036-2049, November.
  5. Rodríguez-Moreno, María & Peña, Juan Ignacio, 2013. "Systemic risk measures: The simpler the better?," Journal of Banking & Finance, Elsevier, vol. 37(6), pages 1817-1831.
  6. Anginer, Deniz & Demirguc-Kunt, Asli & Zhu, Min, 2014. "How does deposit insurance affect bank risk? Evidence from the recent crisis," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 312-321.
  7. Claudio Borio & Mathias Drehmann, 2011. "Toward an Operational Framework for Financial Stability: “Fuzzy” Measurement and Its Consequences," Central Banking, Analysis, and Economic Policies Book Series, in: Rodrigo Alfaro (ed.),Financial Stability, Monetary Policy, and Central Banking, edition 1, volume 15, chapter 4, pages 063-123, Central Bank of Chile.
  8. Timilsina, Govinda R. & Hochman, Gal & Fedets, Iryna, 2016. "Understanding energy efficiency barriers in Ukraine: Insights from a survey of commercial and industrial firms," Energy, Elsevier, vol. 106(C), pages 203-211.
  9. Huang, Xin & Zhou, Hao & Zhu, Haibin, 2012. "Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis," Journal of Financial Stability, Elsevier, vol. 8(3), pages 193-205.
  10. Daniel Dimitrov & Sweder van Wijnbergen, 2023. "Macroprudential Regulation: A Risk Management Approach," Working Papers 765, DNB.
  11. Mr. Renzo G Avesani & Ms. Elina Ribakova & Antonio I Garcia Pascual, 2007. "The Use of Mortgage Covered Bonds," IMF Working Papers 2007/020, International Monetary Fund.
  12. Renata Karkowska, 2013. "Instability In The Cee Banking System. Evidence From The Recent Financial Crisis," CES Working Papers, Centre for European Studies, Alexandru Ioan Cuza University, vol. 5(4), pages 535-547, December.
  13. Wong, Alfred Y-T. & Fong, Tom Pak Wing, 2011. "Analysing interconnectivity among economies," Emerging Markets Review, Elsevier, vol. 12(4), pages 432-442.
  14. Radev, Deyan, 2013. "Systemic risk and sovereign debt in the Euro area," SAFE Working Paper Series 37, Leibniz Institute for Financial Research SAFE.
  15. Sangwon Suh & Inwon Jang & Misun Ahn, 2013. "A Simple Method For Measuring Systemic Risk Using Credit Default Swap Market Data," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 38(4), pages 75-100, December.
  16. Martin CIHAK, 2007. "Systemic Loss: A Measure of Financial Stability (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 57(1-2), pages 5-26, March.
  17. Simon Xu & Francis In & Catherine Forbes & Inchang Hwang, 2017. "Systemic risk in the European sovereign and banking system," Quantitative Finance, Taylor & Francis Journals, vol. 17(4), pages 633-656, April.
  18. Patro, Dilip K. & Qi, Min & Sun, Xian, 2013. "A simple indicator of systemic risk," Journal of Financial Stability, Elsevier, vol. 9(1), pages 105-116.
  19. Kay Giesecke & Baeho Kim, 2011. "Systemic Risk: What Defaults Are Telling Us," Management Science, INFORMS, vol. 57(8), pages 1387-1405, August.
  20. Bernd Schwaab, 2012. "Conditional probabilities and contagion measures for euro area sovereign default risk," Research Bulletin, European Central Bank, vol. 17, pages 6-11.
  21. Guseon Ji & Daniel Sungyeon Kim & Kwangwon Ahn, 2019. "Financial Structure and Systemic Risk of Banks: Evidence from Chinese Reform," Sustainability, MDPI, vol. 11(13), pages 1-22, July.
  22. Collins, Sean & Gallagher, Emily, 2016. "Assessing the credit risk of money market funds during the eurozone crisis," Journal of Financial Stability, Elsevier, vol. 25(C), pages 150-165.
  23. Markus K. Brunnermeier & Patrick Cheridito, 2019. "Measuring and Allocating Systemic Risk," Risks, MDPI, vol. 7(2), pages 1-19, April.
  24. Matros, Philipp & Vilsmeier, Johannes, 2014. "The multivariate option iPoD framework: assessing systemic financial risk," Discussion Papers 20/2014, Deutsche Bundesbank.
  25. Armen Hovakimian & Edward J. Kane & Luc Laeven, 2012. "Tracking Variation in Systemic Risk at US Banks During 1974-2013," NBER Working Papers 18043, National Bureau of Economic Research, Inc.
  26. Stefano Giglio, 2011. "Credit default swap spreads and systemic financial risk," Proceedings 1122, Federal Reserve Bank of Chicago.
  27. Junye Li & Gabriele Zinna, 2014. "On bank credit risk: systemic or bank-specific? Evidence from the US and UK," Temi di discussione (Economic working papers) 951, Bank of Italy, Economic Research and International Relations Area.
  28. Philipp Matros & Johannes Vilsmeier, 2013. "The Multivariate Option iPoD Framework - Assessing Systemic Financial Risk," Working Papers 143, Bavarian Graduate Program in Economics (BGPE).
  29. André Lucas & Bernd Schwaab & Xin Zhang, 2014. "Conditional Euro Area Sovereign Default Risk," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(2), pages 271-284, April.
  30. Mario Cerrato & John Crosby & Minjoo Kim & Yang Zhao, 2015. "Correlated Defaults of UK Banks: Dynamics and Asymmetries," Working Papers 2015_24, Business School - Economics, University of Glasgow.
  31. Toni Gravelle & Fuchun Li, 2011. "Measuring Systemic Importance of Financial Institutions: An Extreme Value Theory Approach," Staff Working Papers 11-19, Bank of Canada.
  32. Anginer, Deniz & Demirguc-Kunt, Asli, 2014. "Has the global banking system become more fragile over time?," Journal of Financial Stability, Elsevier, vol. 13(C), pages 202-213.
  33. Collins, Sean & Gallagher, Emily, 2014. "Assessing Credit Risk in Money Market Fund Portfolios," MPRA Paper 56256, University Library of Munich, Germany.
  34. Emanuele De Meo & Giacomo Tizzanini, 2021. "GDP‐network CoVaR: A tool for assessing growth‐at‐risk," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 50(2), July.
  35. Alessandro Bitetto & Paola Cerchiello & Charilaos Mertzanis, 2021. "A data-driven approach to measuring financial soundness throughout the world," DEM Working Papers Series 199, University of Pavia, Department of Economics and Management.
  36. Radev, Deyan, 2014. "Assessing systemic fragility: A probabilistic perspective," SAFE Working Paper Series 70, Leibniz Institute for Financial Research SAFE.
  37. Xu, Qiuhua & Yan, Haoyang & Zhao, Tianyu, 2022. "Contagion effect of systemic risk among industry sectors in China’s stock market," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
  38. Kanas, Angelos & Vasiliou, Dimitrios & Eriotis, Nikolaos, 2012. "Revisiting bank profitability: A semi-parametric approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(4), pages 990-1005.
  39. Hochman, Gal & Timilsina, Govinda R., 2017. "Energy efficiency barriers in commercial and industrial firms in Ukraine: An empirical analysis," Energy Economics, Elsevier, vol. 63(C), pages 22-30.
  40. Karkowska, Renata, 2014. "Is the Central and Eastern European banking systems stable? Evidence from the recent financial crisis," MPRA Paper 58803, University Library of Munich, Germany.
  41. Bitetto, Alessandro & Cerchiello, Paola & Mertzanis, Charilaos, 2023. "Measuring financial soundness around the world: A machine learning approach," International Review of Financial Analysis, Elsevier, vol. 85(C).
  42. Anginer, Deniz & Demirguc-Kunt, Asli & Zhu, Min, 2012. "How does bank competition affect systemic stability ?," Policy Research Working Paper Series 5981, The World Bank.
  43. Andre Lucas & Bernd Schwaab & Xin Zhang, 2013. "Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics," Tinbergen Institute Discussion Papers 13-063/IV/DSF56, Tinbergen Institute, revised 13 Oct 2014.
  44. Hsu, S. & Li, J. & Qin, Y., 2013. "Shadow Banking and Systemic Risk in Europe and China," CITYPERC Working Paper Series 2013-02, Department of International Politics, City University London.
  45. Schwaab, Bernd & Lucas, André & Zhang, Xin, 2013. "Conditional and joint credit risk," Working Paper Series 1621, European Central Bank.
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