Enhancing banking systemic risk indicators by incorporating volatility clustering, variance risk premiums, and considering distance-to-capital
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DOI: 10.1016/j.iref.2024.103779
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Keywords
Distance-to-Capital; Systemic risk; Volatility clustering; Variance risk premiums; Expected shortfall;All these keywords.
JEL classification:
- G01 - Financial Economics - - General - - - Financial Crises
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
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