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Citations for "Risk Assessment for Banking Systems"

by Helmut Elsinger & Alfred Lehar & Martin Summer

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  1. Spiros Bougheas & Alan Kirman, 2014. "Complex Financial Networks and Systemic Risk: A Review," Discussion Papers 2014/04, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
  2. Suh, Sangwon, 2012. "Measuring systemic risk: A factor-augmented correlated default approach," Journal of Financial Intermediation, Elsevier, Elsevier, vol. 21(2), pages 341-358.
  3. Lara Mónica Machado Fernandes & Maria Rosa Borges, 2013. "Interbank Linkages and Contagion Risk in the Portuguese Banking System," Working Papers Department of Economics, ISEG - School of Economics and Management, Department of Economics, University of Lisbon 2013/23, ISEG - School of Economics and Management, Department of Economics, University of Lisbon.
  4. Antonio Cabrales & Piero Gottardo & Fernando Vega-Redondo, 2013. "Risk-Sharing and Contagion in Networks," Economics Working Papers, European University Institute ECO2013/01, European University Institute.
  5. Kapadia, Sujit & Drehmann, Mathias & Elliott, John & Sterne, Gabriel, 2012. "Liquidity risk, cash-flow constraints and systemic feedbacks," Bank of England working papers 456, Bank of England.
  6. Christoph Memmel & Angelika Sachs & Ingrid Stein, 2012. "Contagion in the Interbank Market with Stochastic Loss Given Default," International Journal of Central Banking, International Journal of Central Banking, International Journal of Central Banking, vol. 8(3), pages 177-206, September.
  7. repec:onb:oenbwp:y::i:87:b:1 is not listed on IDEAS
  8. Claus Puhr & Reinhardt Seliger & Michael Sigmund, 2012. "Contagiousness and Vulnerability in the Austrian Interbank Market," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), Oesterreichische Nationalbank (Austrian Central Bank), issue 24, pages 62-78.
  9. Stefano Battiston & Domenico Delli Gatti & Mauro Gallegati & Bruce Greenwald & Joseph E. Stiglitz, . "Default Cascades: When Does Risk Diversification Increase Stability?," Working Papers, ETH Zurich, Chair of Systems Design ETH-RC-11-006, ETH Zurich, Chair of Systems Design.
  10. G. Wims & D. Martens & M. De Backer, 2011. "Network Models of Financial Contagion: A Definition and Literature Review," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration 11/730, Ghent University, Faculty of Economics and Business Administration.
  11. Lee, Seung Hwan, 2013. "Systemic liquidity shortages and interbank network structures," Journal of Financial Stability, Elsevier, Elsevier, vol. 9(1), pages 1-12.
  12. Frank Milne, 2008. "Credit Crises, Risk Management Systems and Liquidity Modelling," Working Papers, John Deutsch Institute for the Study of Economic Policy 1, John Deutsch Institute for the Study of Economic Policy.
  13. Blank, Sven & Buch, Claudia M. & Neugebauer, Katja, 2009. "Shocks at large banks and banking sector distress: the Banking Granular Residual," Discussion Paper Series 2: Banking and Financial Studies 2009,04, Deutsche Bundesbank, Research Centre.
  14. Paolo Emilio Mistrulli, 2007. "Assessing financial contagion in the interbank market: Maximum entropy versus observed interbank lending patterns," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area 641, Bank of Italy, Economic Research and International Relations Area.
  15. Philipp Hartmann & Stefan Straetmans & Casper G. De Vries, 2005. "Banking System Stability: A Cross-Atlantic Perspective," NBER Working Papers 11698, National Bureau of Economic Research, Inc.
  16. Hamed Amini & Rama Cont & Andreea Minca, 2011. "Resilience to Contagion in Financial Networks," Papers 1112.5687, arXiv.org.
  17. Kares, Alexei & Schoors , Koen & Lanine, Gleb, 2008. "Liquidity matters: Evidence from the Russian interbank market," BOFIT Discussion Papers, Bank of Finland, Institute for Economies in Transition 19/2008, Bank of Finland, Institute for Economies in Transition.
  18. Nikolaus Hautsch & Julia Schaumburg & Melanie Schienle, 2011. "Financial Network Systemic Risk Contributions," SFB 649 Discussion Papers SFB649DP2011-072, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  19. Dieter Gramlich & Mikhail V. Oet & Stephen J. Ong, 2013. "Policy in adaptive financial markets—the use of systemic risk early warning tools," Working Paper 1309, Federal Reserve Bank of Cleveland.
  20. Hans Degryse & Muhammad Ather Elahi & Maria Fabiana Penas, 2010. "Cross-Border Exposures and Financial Contagion," International Review of Finance, International Review of Finance Ltd., International Review of Finance Ltd., vol. 10(Financial), pages 209-240.
  21. repec:onb:oenbwp:y:2008:i:15:b:1 is not listed on IDEAS
  22. Frank Milne, 2008. "Anatomy of the Credit Crisis: The role of Faulty Risk Management Systems," C.D. Howe Institute Commentary, C.D. Howe Institute, issue 269, July.
  23. VanHoose, David, 2011. "Systemic Risk and Macroprudential Bank Regulation: A Critical Appraisal," Journal of Financial Transformation, Capco Institute, Capco Institute, vol. 33, pages 45-60.
  24. Albert, Jose Ramon & Ng, Thiam Hee, 2012. "Assessing the Resilience of ASEAN Banking Systems: The Case of the Philippines," Working Papers on Regional Economic Integration 93, Asian Development Bank.
  25. Michael Boss & Martin Summer & Stefan Thurner, 2004. "Contagion Flow Through Banking Networks," Papers cond-mat/0403167, arXiv.org.
  26. Drehmann, Mathias & Tarashev, Nikola, 2013. "Measuring the systemic importance of interconnected banks," Journal of Financial Intermediation, Elsevier, Elsevier, vol. 22(4), pages 586-607.
  27. Vaclav Hausenblas & Ivana Kubicova & Jitka Lesanovska, 2012. "Contagion Risk in the Czech Financial System: A Network Analysis and Simulation Approach," Working Papers, Czech National Bank, Research Department 2012/14, Czech National Bank, Research Department.
  28. Bluhm, Marcel & Krahnen, Jan Pieter, 2014. "Systemic risk in an interconnected banking system with endogenous asset markets," SAFE Working Paper Series 48, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  29. Claudio Borio, 2011. "The financial crisis: what implications for new statistics?," IFC Bulletins chapters, Bank for International Settlements, in: Bank for International Settlements (ed.), Proceedings of the IFC Conference on "Initiatives to address data gaps revealed by the financial crisis", Basel, 25-26 August 2010, volume 34, pages 1-8 Bank for International Settlements.
  30. Paolo Tasca & Stefano Battiston, . "Market Procyclicality and Systemic Risk," Working Papers, ETH Zurich, Chair of Systems Design ETH-RC-12-012, ETH Zurich, Chair of Systems Design.
  31. van Lelyveld, Iman & Liedorp, Franka & Pröpper, Marc, 2008. "Stress Testing Linkages between Banks in the Netherlands," MPRA Paper 10092, University Library of Munich, Germany.
  32. Fabio Caccioli & J. Doyne Farmer & Nick Foti & Daniel Rockmore, 2013. "How interbank lending amplifies overlapping portfolio contagion: A case study of the Austrian banking network," Papers 1306.3704, arXiv.org.
  33. Claudio Borio, 2011. "Rediscovering the macroeconomic roots of financial stability policy: journey, challenges and a way forward," BIS Working Papers 354, Bank for International Settlements.
  34. Lena Tonzer, 2013. "Cross-Border Interbank Networks, Banking Risk and Contagion," FIW Working Paper series, FIW 129, FIW.
  35. Simon Wells, 2004. "Financial interlinkages in the United Kingdom's interbank market and the risk of contagion," Bank of England working papers 230, Bank of England.
  36. 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.
  37. Ladley, Daniel, 2013. "Contagion and risk-sharing on the inter-bank market," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 37(7), pages 1384-1400.
  38. Charles A.E. Goodhart & Pojanart Sunirand & Dimitrios P. Tsomocos, 2004. "A Time Series Analysis of Financial Fragility in the UK Banking System," OFRC Working Papers Series, Oxford Financial Research Centre 2004fe18, Oxford Financial Research Centre.
  39. C.G. de vries, 2004. "The simple economics of bank fragility," WO Research Memoranda (discontinued), Netherlands Central Bank, Research Department 755, Netherlands Central Bank, Research Department.
  40. Lelyveld, Iman van & Liedorp, Franka, 2004. "Interbank Contagion in the Dutch Banking Sector," MPRA Paper 651, University Library of Munich, Germany, revised 11 Jul 2005.
  41. Michele Bonollo & Irene Crimaldi & Andrea Flori & Fabio Pammolli & Massimo Riccaboni, 2014. "Systemic importance of financial institutions: regulations, research, open issues, proposals," Working Papers 2/2014, IMT Institute for Advanced Studies Lucca, revised Mar 2014.
  42. Jürgen Eichberger & Martin Summer, 2005. "Bank Capital, Liquidity, and Systemic Risk," Journal of the European Economic Association, MIT Press, MIT Press, vol. 3(2-3), pages 547-555, 04/05.
  43. Jiménez, Gabriel & Mencía, Javier, 2009. "Modelling the distribution of credit losses with observable and latent factors," Journal of Empirical Finance, Elsevier, Elsevier, vol. 16(2), pages 235-253, March.
  44. Marco A. Espinosa-Vega & Juan Solé, 2011. "Cross-border financial surveillance: a network perspective," Journal of Financial Economic Policy, Emerald Group Publishing, Emerald Group Publishing, vol. 3(3), pages 182-205, August.
  45. Nier, Erlend & Yang, Jing & Yorulmazer, Tanju & Alentorn, Amadeo, 2008. "Network models and financial stability," Bank of England working papers 346, Bank of England.
  46. Mariya Teteryatnikova, 2010. "Resilience of the Interbank Network to Shocks and Optimal Bail-Out Strategy: Advantages of "Tiered" Banking Systems," Vienna Economics Papers, University of Vienna, Department of Economics 1007, University of Vienna, Department of Economics.
  47. repec:hal:wpaper:halshs-00662513 is not listed on IDEAS
  48. Sebastian Heise & Reimer Kuehn, 2012. "Derivatives and Credit Contagion in Interconnected Networks," Papers 1202.3025, arXiv.org.
  49. Elsinger, Helmut & Lehar, Alfred & Summer, Martin, 2005. "Using Market Information for Banking System Risk Assessment," MPRA Paper 817, University Library of Munich, Germany.
  50. repec:onb:oenbwp:y::i:156:b:1 is not listed on IDEAS
  51. Lehar, Alfred, 2005. "Measuring systemic risk: A risk management approach," Journal of Banking & Finance, Elsevier, vol. 29(10), pages 2577-2603, October.
  52. Toivanen, Mervi, 2009. "Financial interlinkages and risk of contagion in the Finnish interbank market," Research Discussion Papers 6/2009, Bank of Finland.
  53. Pauline Barrieu & Bernard Sinclair-Desgagné, 2009. "Economic Policy when Models Disagree," CIRANO Working Papers, CIRANO 2009s-03, CIRANO.
  54. Borgonovo, Emanuele & Gatti, Stefano, 2013. "Risk analysis with contractual default. Does covenant breach matter?," European Journal of Operational Research, Elsevier, Elsevier, vol. 230(2), pages 431-443.
  55. Sigbjørn Atle Berg, 2011. "Systemic surcharges and measures of systemic importance," Journal of Financial Regulation and Compliance, Emerald Group Publishing, Emerald Group Publishing, vol. 19(4), pages 383-395, November.
  56. Battiston, Stefano & Delli Gatti, Domenico & Gallegati, Mauro & Greenwald, Bruce & Stiglitz, Joseph E., 2012. "Liaisons dangereuses: Increasing connectivity, risk sharing, and systemic risk," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 36(8), pages 1121-1141.
  57. Bluhm, Marcel & Faia, Ester & Krahnen, Jan Pieter, 2014. "Monetary policy implementation in an interbank network: Effects on systemic risk," SAFE Working Paper Series 46, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  58. Imola Drigă & Codruța Dura & Ilie Răscolean, 2011. "Overview of the Caampl Early Warning System in Romanian Banking," Annals of the University of Petrosani, Economics, University of Petrosani, Romania, University of Petrosani, Romania, vol. 11(2), pages 71-80.
  59. Aboura, Sofiane & Lépinette-Denis, Emmanuel, 2014. "An Alternative Model to Basel Regulation," Economics Papers from University Paris Dauphine 123456789/13633, Paris Dauphine University.
  60. Sofiane Aboura & Emmanuel Lépinette, 2013. "An Alternative Model to Basel Regulation," Working Papers hal-00825018, HAL.
  61. Charles Goodhart & Pojanart Sunirand & Dimitrios P. Tsomocos, 2004. "A risk assessment model for banks," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 24750, London School of Economics and Political Science, LSE Library.
  62. David Aikman & Piergiorgio Alessandri & Bruno Eklund & Prasanna Gai & Sujit Kapadia, & Elizabeth Martin, & Nada Mora & Gabriel Sterne & Matthew Willison, 2011. "Funding Liquidity Risk in a Quantitative Model of Systemic Stability," Central Banking, Analysis, and Economic Policies Book Series, in: Rodrigo Alfaro (ed.), Financial Stability, Monetary Policy, and Central Banking, edition 1, volume 15, chapter 12, pages 371-410 Central Bank of Chile.
  63. H Peyton Young & Paul Glasserman, 2013. "How Likely is Contagion in Financial Networks?," Economics Series Working Papers 642, University of Oxford, Department of Economics.
  64. Doris Neuberger & Roger Rissi, 2014. "Macroprudential Banking Regulation: Does One Size Fit All?," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, vol. 1(1), pages 5-28, May.
  65. Bluhm, Marcel & Krahnen, Jan Pieter, 2011. "Default risk in an interconnected banking system with endogeneous asset markets," CFS Working Paper Series 2011/19, Center for Financial Studies (CFS).
  66. Yang, Hsin-Feng & Liu, Chih-Liang & Chou, Ray Yeutien, 2014. "Interest rate risk propagation: Evidence from the credit crunch," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 242-264.
  67. Andrea Cipollini & Giuseppe Missaglia, 2007. "Dynamic Factor analysis of industry sector default rates and implication for Portfolio Credit Risk Modelling," Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics 007, University of Modena and Reggio E., Dept. of Economics.
  68. Rodrigo Cifuentes & Hyun Song Shin & Gianluigi Ferrucci, 2005. "Liquidity Risk and Contagion," Journal of the European Economic Association, MIT Press, MIT Press, vol. 3(2-3), pages 556-566, 04/05.
  69. Foti, Nicholas J. & Pauls, Scott & Rockmore, Daniel N., 2013. "Stability of the World Trade Web over time – An extinction analysis," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 37(9), pages 1889-1910.
  70. Benjamin M. Tabak & Sergio R. S. Souza & Solange M. Guerra, 2013. "Assessing Systemic Risk in the Brazilian Interbank Market," Working Papers Series, Central Bank of Brazil, Research Department 318, Central Bank of Brazil, Research Department.
  71. Puzanova, Natalia & Düllmann, Klaus, 2013. "Systemic risk contributions: A credit portfolio approach," Journal of Banking & Finance, Elsevier, vol. 37(4), pages 1243-1257.
  72. Borio, Claudio & Drehmann, Mathias & Tsatsaronis, Kostas, 2014. "Stress-testing macro stress testing: Does it live up to expectations?," Journal of Financial Stability, Elsevier, Elsevier, vol. 12(C), pages 3-15.
  73. Charles A. E. Goodhart, 2005. "What Can Academics Contribute to the Study of Financial Stability?," The Economic and Social Review, Economic and Social Studies, Economic and Social Studies, vol. 36(3), pages 189-203.
  74. Stephen Cecchetti & Ingo Fender & Kostas Patrick McGuire, 2010. "Toward a global risk map," BIS Working Papers 309, Bank for International Settlements.
  75. John Kambhu & Til Schuermann & Kevin J. Stiroh, 2007. "Hedge funds, financial intermediation, and systemic risk," Economic Policy Review, Federal Reserve Bank of New York, Federal Reserve Bank of New York, issue Dec, pages 1-18.
  76. Upper, Christian & Worms, Andreas, 2004. "Estimating bilateral exposures in the German interbank market: Is there a danger of contagion?," European Economic Review, Elsevier, vol. 48(4), pages 827-849, August.
  77. Sujit Kapadia & Matthias Drehmann & John Elliott & Gabriel Sterne, 2012. "Liquidity Risk, Cash Flow Constraints, and Systemic Feedbacks," NBER Chapters, in: Quantifying Systemic Risk, pages 29-61 National Bureau of Economic Research, Inc.
  78. Imola Driga, 2012. "Financial Risks Analysis For A Commercial Bank In The Romanian Banking System," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, vol. 1(14), pages 14.
  79. Piergiorgio Alessandri & Prasanna Gai & Sujit Kapadia & Nada Mora & Claus Puhr, 2009. "Towards a Framework for Quantifying Systemic Stability," International Journal of Central Banking, International Journal of Central Banking, International Journal of Central Banking, vol. 5(3), pages 47-81, September.
  80. Juan Sole & Marco A Espinosa-Vega, 2010. "Cross-Border Financial Surveillance," IMF Working Papers 10/105, International Monetary Fund.
  81. Jorge A. Chan-Lau, 2010. "Balance Sheet Network Analysis of too-Connected-To-Fail Risk in Global and Domestic Banking Systems," IMF Working Papers 10/107, International Monetary Fund.
  82. Louise Allsopp, 2003. "Speculative behaviour, debt default and contagion: A stylised framework of the Latin American Crisis 2001-2002," Reserve Bank of New Zealand Discussion Paper Series DP2003/10, Reserve Bank of New Zealand.
  83. Charles Goodhart & Boris Hofmann & Miguel Segoviano, 2004. "Bank Regulation and Macroeconomic Fluctuations," Oxford Review of Economic Policy, Oxford University Press, Oxford University Press, vol. 20(4), pages 591-615, Winter.
  84. Borio Claudio, 2011. "Implementing a Macroprudential Framework: Blending Boldness and Realism," Capitalism and Society, De Gruyter, De Gruyter, vol. 6(1), pages 1-25, August.
  85. Iman van Lelyveld & Franka Liedorp, 2006. "Interbank Contagion in the Dutch Banking Sector: A Sensitivity Analysis," International Journal of Central Banking, International Journal of Central Banking, International Journal of Central Banking, vol. 2(2), May.
  86. Giesecke, Kay & Weber, Stefan, 2004. "Cyclical correlations, credit contagion, and portfolio losses," Journal of Banking & Finance, Elsevier, vol. 28(12), pages 3009-3036, December.
  87. Demange, Gabrielle, 2012. "Contagion in financial networks: A threat index," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8793, C.E.P.R. Discussion Papers.
  88. Glenn Hoggarth & Steffen Sorensen & Lea Zicchino, 2005. "Stress tests of UK banks using a VAR approach," Bank of England working papers 282, Bank of England.
  89. Claudio E. V. Borio & Kostas Tsatsaronis, 2005. "Accounting, prudential regulation and financial stability: elements of a synthesis," BIS Working Papers 180, Bank for International Settlements.
  90. Toivanen, Mervi, 2013. "Contagion in the interbank network: An epidemiological approach," Research Discussion Papers 19/2013, Bank of Finland.
  91. Gai, Prasanna & Kapadia, Sujit, 2010. "Contagion in financial networks," Bank of England working papers 383, Bank of England.
  92. A. V. Leonidov & E. L. Rumyantsev, 2012. "Russian interbank networks: main characteristics and stability with respect to contagion," Papers 1210.3814, arXiv.org.
  93. Gauthier, Céline & Lehar, Alfred & Souissi, Moez, 2012. "Macroprudential capital requirements and systemic risk," Journal of Financial Intermediation, Elsevier, Elsevier, vol. 21(4), pages 594-618.
  94. Mariya Teteryatnikova, 2012. "Resilience of the Interbank Network to Shocks and Optimal Bail-Out Strategy: Advantages of "Tiered" Banking Systems," Vienna Economics Papers, University of Vienna, Department of Economics 1203, University of Vienna, Department of Economics.
  95. Paolo Tasca & Stefano Battiston, . "Diversification and Financial Stability," Working Papers, ETH Zurich, Chair of Systems Design CCSS-11-001, ETH Zurich, Chair of Systems Design.
  96. Upper, Christian, 2011. "Simulation methods to assess the danger of contagion in interbank markets," Journal of Financial Stability, Elsevier, Elsevier, vol. 7(3), pages 111-125, August.
  97. Sergio R. S. Souza & Benjamin M. Tabak & Solange M. Guerra, 2013. "Insolvency and Contagion in the Brazilian Interbank Market," Working Papers Series, Central Bank of Brazil, Research Department 320, Central Bank of Brazil, Research Department.
  98. Teruyoshi Kobayashi, 2012. "Diversity among banks may increase systemic risk," Discussion Papers 1213, Graduate School of Economics, Kobe University.
  99. Paolo Tasca, . "Overlapping Correlation Coefficient," Working Papers, ETH Zurich, Chair of Systems Design ETH-RC-13-004, ETH Zurich, Chair of Systems Design.
  100. Christian Upper, 2007. "Using counterfactual simulations to assess the danger of contagion in interbank markets," BIS Working Papers 234, Bank for International Settlements.
  101. Prasanna Gai & Sujit Kapadia, 2009. "A Network Model of Super-systemic Crises," Working Papers Central Bank of Chile, Central Bank of Chile 542, Central Bank of Chile.
  102. Iyer, Rajkamal & Peydró, José-Luis, 2010. "Interbank contagion at work: evidence from a natural experiment," Working Paper Series, European Central Bank 1147, European Central Bank.
  103. Michel Aglietta, 2003. "Le risque systémique dans la finance libéralisée," Revue d'Économie Financière, Programme National Persée, Programme National Persée, vol. 70(1), pages 33-50.
  104. Drehmann, Mathias & Sorensen, Steffen & Stringa, Marco, 2010. "The integrated impact of credit and interest rate risk on banks: A dynamic framework and stress testing application," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 713-729, April.
  105. Christian Schmieder & Maher Hasan & Claus Puhr, 2011. "Next Generation Balance Sheet Stress Testing," IMF Working Papers 11/83, International Monetary Fund.
  106. Hałaj, Grzegorz, 2006. "Contagion effect in banking system - measures based on randomised loss scenarios," MPRA Paper 525, University Library of Munich, Germany.
  107. Claudio Borio, 2013. "The Great Financial Crisis: setting priorities for new statistics," BIS Working Papers 408, Bank for International Settlements.
  108. Nicolas Arregui & Mohamed Norat & Antonio Pancorbo & Jodi G. Scarlata & Eija Holttinen & Fabiana Melo & Jay Surti & Christopher Wilson & Rodolfo Wehrhahn & Mamoru Yanase, 2013. "Addressing Interconnectedness," IMF Working Papers 13/199, International Monetary Fund.
  109. Riccardo Lisa & Stefano Zedda & Francesco Vallascas & Francesca Campolongo & Massimo Marchesi, 2011. "Modelling Deposit Insurance Scheme Losses in a Basel 2 Framework," Journal of Financial Services Research, Springer, Springer, vol. 40(3), pages 123-141, December.
  110. Neuberger, Doris & Rissi, Roger, 2012. "Macroprudential banking regulation: Does one size fit all?," Thuenen-Series of Applied Economic Theory 124, University of Rostock, Institute of Economics.
  111. Barnhill, Theodore M. & Souto, Marcos Rietti, 2008. "Systemic bank risk in Brazil: an assessment of correlated market, credit, sovereign and inter-bank risk in an environment with stochastic volatilities and correlations," Discussion Paper Series 2: Banking and Financial Studies 2008,13, Deutsche Bundesbank, Research Centre.
  112. Ilhyock Shim & Goetz von Peter, 2007. "Distress selling and asset market feedback," BIS Working Papers 229, Bank for International Settlements.
  113. Martin Cihák, 2007. "Introduction to Applied Stress Testing," IMF Working Papers 07/59, International Monetary Fund.
  114. Gabriel Jiménez & Javier Mencía, 2007. "Modeling the distribution of credit losses with observable and latent factors," Banco de Espa�a Working Papers 0709, Banco de Espa�a.
  115. Claudio E. V. Borio, 2004. "Market distress and vanishing liquidity: anatomy and policy options," BIS Working Papers 158, Bank for International Settlements.
  116. Edson Bastos e Santos & Rama Cont, 2010. "The Brazilian Interbank Network Structure and Systemic Risk," Working Papers Series, Central Bank of Brazil, Research Department 219, Central Bank of Brazil, Research Department.
  117. Helmut Elsinger & Alfred Lehar & Martin Summer, 2006. "Systemically important banks: an analysis for the European banking system," International Economics and Economic Policy, Springer, vol. 3(1), pages 73-89, April.