IDEAS home Printed from https://ideas.repec.org/f/pba2220.html

Denisa Banulescu-Radu

Personal Details

First Name:Denisa
Middle Name:
Last Name:Banulescu-Radu
Suffix:
In ASCII letters:
RePEc Short-ID:pba2220
[This author has chosen not to make the email address public]
https://sites.google.com/view/denisa-banulescu-radu/bio

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Denisa Banulescu-Radu & Peter Reinhard Hansen & Zhuo Huang & Marius Matei, 2025. "Modelling volatility in turbulent times: a Robust Realized GARCH framework," Working Papers hal-05310604, HAL.
  2. Denisa Banulescu-Radu & Kougblenou Yannick, 2025. "Data science for insurance fraud detection: a review," Post-Print hal-05310599, HAL.
  3. Denisa Banulescu-Radu & Meryem Yankol-Schalck, 2023. "Practical guideline to efficiently detect insurance fraud in the era of machine learning: A household insurance case," Post-Print hal-04317509, HAL.
  4. Denisa Banulescu-Radu, 2022. "L’intelligence artificielle, le machine learning et le deep learning : les défis de leur utilisation dans la détection de la fraude," Post-Print hal-05310603, HAL.
  5. Denisa BANULESCU-RADU & Meryem YANKOL-SCHALCK, 2021. "Fraud detection in the era of Machine Learning: a household insurance case," LEO Working Papers / DR LEO 2904, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
  6. Banulescu-Radu, Denisa & Hurlin, Christophe & Leymarie, Jeremy & Scaillet, Olivier, 2020. "Backtesting marginal expected shortfalland related systemic risk measures," Working Papers unige:134136, University of Geneva, Geneva School of Economics and Management.
  7. Denisa Banulescu-Radu & Elena Dumitrescu, 2019. "Do High-frequency-based measures improve conditional covariance forecasts?," Post-Print hal-05310601, HAL.
  8. Denisa BANULESCU-RADU & Laurent FERRARA & Clément MARSILLI, 2019. "Prévoir la volatilité d’un actif financier à l’aide d’un modèle à mélange de fréquences," LEO Working Papers / DR LEO 2710, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
  9. Denisa Banulescu-Radu & Christophe Hurlin & Bertrand Candelon & Sébastien Laurent, 2016. "Do We Need High Frequency Data to Forecast Variances?," Post-Print hal-01448237, HAL.

Articles

  1. Denisa Banulescu-Radu & Christophe Hurlin & Jérémy Leymarie & Olivier Scaillet, 2021. "Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures," Management Science, INFORMS, vol. 67(9), pages 5730-5754, September.
  2. Denisa Banulescu-Radu & Christophe Hurlin & Bertrand Candelon & Sébastien Laurent, 2016. "Do We Need High Frequency Data to Forecast Variances?," Annals of Economics and Statistics, GENES, issue 123-124, pages 135-174.
  3. Banulescu, Georgiana-Denisa & Dumitrescu, Elena-Ivona, 2015. "Which are the SIFIs? A Component Expected Shortfall approach to systemic risk," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 575-588.

Chapters

  1. Denisa Banulescu-Radu & Yannick Kougblenou, 2025. "Data Science for Insurance Fraud Detection: A Review," Springer Books, in: Georges Dionne (ed.), Handbook of Insurance, edition 0, pages 417-446, Springer.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Denisa Banulescu-Radu & Meryem Yankol-Schalck, 2023. "Practical guideline to efficiently detect insurance fraud in the era of machine learning: A household insurance case," Post-Print hal-04317509, HAL.

    Cited by:

    1. Yankol Schalck, Meryem, 2025. "Auto insurance fraud detection: Leveraging cost sensitive and insensitive algorithms for comprehensive analysis," Insurance: Mathematics and Economics, Elsevier, vol. 122(C), pages 44-60.

  2. Banulescu-Radu, Denisa & Hurlin, Christophe & Leymarie, Jeremy & Scaillet, Olivier, 2020. "Backtesting marginal expected shortfalland related systemic risk measures," Working Papers unige:134136, University of Geneva, Geneva School of Economics and Management.

    Cited by:

    1. Michele Leonardo Bianchi & Federica Pallante, 2025. "Comparing the systemic risk of Italian insurers and banks," Questioni di Economia e Finanza (Occasional Papers) 922, Bank of Italy, Economic Research and International Relations Area.
    2. Han, Wang-Zhe & Meng, Wanshan, 2025. "Does AI contribute to systemic risk reduction in non-financial corporations?," The Quarterly Review of Economics and Finance, Elsevier, vol. 100(C).
    3. Gribkova, N.V. & Su, J. & Zitikis, R., 2022. "Inference for the tail conditional allocation: Large sample properties, insurance risk assessment, and compound sums of concomitants," Insurance: Mathematics and Economics, Elsevier, vol. 107(C), pages 199-222.
    4. Lyu, Yongjian & Yi, Heling & Yang, Mo & Zou, Yihan & Li, Ding & Qin, Zhilong, 2025. "Financial uncertainty shocks and systemic risk: Revealing the risk spillover from the oil market to the stock market," Applied Energy, Elsevier, vol. 382(C).
    5. Timo Dimitriadis & Tobias Fissler & Johanna Ziegel, 2024. "Osband’s principle for identification functions," Statistical Papers, Springer, vol. 65(2), pages 1125-1132, April.
    6. Tobias Fissler & Yannick Hoga, 2021. "Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability," Papers 2104.10673, arXiv.org, revised Feb 2022.
    7. Adasi Manu, Sylvester & Qi, Yaxuan, 2023. "CEO social connections and bank systemic risk: The “dark side” of social networks," Journal of Banking & Finance, Elsevier, vol. 156(C).
    8. Loïc Cantin & Christian Francq & Jean-Michel Zakoïan, 2022. "Estimating dynamic systemic risk measures," Working Papers 2022-11, Center for Research in Economics and Statistics.
    9. Cao, Yufei, 2026. "Quantifying systemic risk via high-dimensional CoVaR measures," Economic Modelling, Elsevier, vol. 157(C).
    10. Colonnello, Stefano & Koetter, Michael & Wagner, Konstantin, 2023. "Compensation regulation in banking: Executive director behavior and bank performance after the EU bonus cap," Journal of Accounting and Economics, Elsevier, vol. 76(1).
    11. Koike, Takaaki & Chen, Cathy W.S. & Lin, Edward M.H., 2025. "Forecasting and backtesting gradient allocations of expected shortfall," Insurance: Mathematics and Economics, Elsevier, vol. 124(C).
    12. Sullivan Hu'e & Christophe Hurlin & Yang Lu, 2024. "Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials," Papers 2405.02012, arXiv.org, revised May 2024.
    13. Yannick Hoga & Matei Demetrescu, 2023. "Monitoring Value-at-Risk and Expected Shortfall Forecasts," Management Science, INFORMS, vol. 69(5), pages 2954-2971, May.
    14. Akyildirim, Erdinc & Corbet, Shaen & Ongena, Steven & Staunton, David, 2025. "Understanding reputational risks: The impact of ESG events on European banks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 105(C).
    15. Ye, Wuyi & Zhou, Yi & Chen, Pengzhan & Wu, Bin, 2024. "A simulation-based method for estimating systemic risk measures," European Journal of Operational Research, Elsevier, vol. 313(1), pages 312-324.
    16. Timo Dimitriadis & Yannick Hoga, 2026. "Systemic Risk Surveillance," Papers 2601.08598, arXiv.org.
    17. Bianchi, Michele Leonardo & De Luca, Giovanni & Rivieccio, Giorgia, 2023. "Non-Gaussian models for CoVaR estimation," International Journal of Forecasting, Elsevier, vol. 39(1), pages 391-404.
    18. Millossovich, Pietro & Tsanakas, Andreas & Wang, Ruodu, 2024. "A theory of multivariate stress testing," European Journal of Operational Research, Elsevier, vol. 318(3), pages 851-866.
    19. Le, Trung H., 2020. "Forecasting value at risk and expected shortfall with mixed data sampling," International Journal of Forecasting, Elsevier, vol. 36(4), pages 1362-1379.
    20. Qin, Xiao & Zhou, Chen, 2021. "Systemic risk allocation using the asymptotic marginal expected shortfall," Journal of Banking & Finance, Elsevier, vol. 126(C).
    21. Michele Leonardo Bianchi & Giovanni De Luca & Giorgia Rivieccio, 2020. "CoVaR with volatility clustering, heavy tails and non-linear dependence," Papers 2009.10764, arXiv.org.
    22. Xiaoming Zhang & Wenzhe Zhang & Chien‐Chiang Lee, 2025. "Bank leverage and systemic risk: Impact of bank risk‐taking and inter‐bank business," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 30(2), pages 1450-1474, April.
    23. Chen, Qihao & Huang, Zhuo & Liang, Fang, 2023. "Measuring systemic risk with high-frequency data: A realized GARCH approach," Finance Research Letters, Elsevier, vol. 54(C).
    24. Zhou, Yi & Xia, Wenjing & Ye, Wuyi, 2026. "Measuring daily systemic risk with intraday data: Evidence from foreign exchange market," Journal of Empirical Finance, Elsevier, vol. 87(C).
    25. Cevik, Emrah Ismail & Kenc, Turalay & Goodell, John W. & Gunay, Samet, 2025. "Enhancing banking systemic risk indicators by incorporating volatility clustering, variance risk premiums, and considering distance-to-capital," International Review of Economics & Finance, Elsevier, vol. 97(C).
    26. Francq, Christian & Zakoïan, Jean-Michel, 2025. "Inference on dynamic systemic risk measures," Journal of Econometrics, Elsevier, vol. 247(C).
    27. Tong Pu & Yifei Zhang & Yiying Zhang, 2024. "On Joint Marginal Expected Shortfall and Associated Contribution Risk Measures," Papers 2405.07549, arXiv.org.
    28. Fang, Sheng & Cao, Guangxi & Egan, Paul, 2023. "Forecasting and backtesting systemic risk in the cryptocurrency market," Finance Research Letters, Elsevier, vol. 54(C).

  3. Denisa Banulescu-Radu & Christophe Hurlin & Bertrand Candelon & Sébastien Laurent, 2016. "Do We Need High Frequency Data to Forecast Variances?," Post-Print hal-01448237, HAL.

    Cited by:

    1. Kregždė Arvydas & Kišonaitė Karolina, 2018. "Co-movements of Lithuanian and Central European Stock Markets Across Different Time Horizons: A Wavelet Approach," Ekonomika (Economics), Paradigm, vol. 97(2), pages 55-69, December.
    2. Gradojevic, Nikola & Kukolj, Dragan & Adcock, Robert & Djakovic, Vladimir, 2023. "Forecasting Bitcoin with technical analysis: A not-so-random forest?," International Journal of Forecasting, Elsevier, vol. 39(1), pages 1-17.
    3. Denisa BANULESCU-RADU & Elena Ivona DUMITRESCU, 2019. "Do High-frequency-based Measures Improve Conditional Covariance Forecasts?," LEO Working Papers / DR LEO 2709, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
    4. Denisa BANULESCU-RADU & Laurent FERRARA & Clément MARSILLI, 2019. "Prévoir la volatilité d’un actif financier à l’aide d’un modèle à mélange de fréquences," LEO Working Papers / DR LEO 2710, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
    5. Amendola, Alessandra & Braione, Manuela & Candila, Vincenzo & Storti, Giuseppe, 2020. "A Model Confidence Set approach to the combination of multivariate volatility forecasts," International Journal of Forecasting, Elsevier, vol. 36(3), pages 873-891.

Articles

  1. Denisa Banulescu-Radu & Christophe Hurlin & Jérémy Leymarie & Olivier Scaillet, 2021. "Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures," Management Science, INFORMS, vol. 67(9), pages 5730-5754, September.
    See citations under working paper version above.
  2. Denisa Banulescu-Radu & Christophe Hurlin & Bertrand Candelon & Sébastien Laurent, 2016. "Do We Need High Frequency Data to Forecast Variances?," Annals of Economics and Statistics, GENES, issue 123-124, pages 135-174.
    See citations under working paper version above.
  3. Banulescu, Georgiana-Denisa & Dumitrescu, Elena-Ivona, 2015. "Which are the SIFIs? A Component Expected Shortfall approach to systemic risk," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 575-588.

    Cited by:

    1. Popescu, Alexandra & Turcu, Camelia, 2017. "Sovereign debt and systemic risk in the eurozone," Economic Modelling, Elsevier, vol. 67(C), pages 275-284.
    2. Pham, Thach N. & Powell, Robert & Bannigidadmath, Deepa, 2021. "Systemically important banks in Asian emerging markets: Evidence from four systemic risk measures," Pacific-Basin Finance Journal, Elsevier, vol. 70(C).
    3. Somnath Chatterjee & Marea Sing, 2021. "Measuring Systemic Risk in South African Banks," Working Papers 11004, South African Reserve Bank.
    4. Ahmad, Wasim & Tiwari, Shiv Ratan & Wadhwani, Akshay & Khan, Mohammad Azeem & Bekiros, Stelios, 2023. "Financial networks and systemic risk vulnerabilities: A tale of Indian banks," Research in International Business and Finance, Elsevier, vol. 65(C).
    5. Mathias Mandla Manguzvane & John Weirstrass Muteba Mwamba, 2022. "South African Banks’ Cross-Border Systemic Risk Exposure: An Application of the GAS Copula Marginal Expected Shortfall," IJFS, MDPI, vol. 10(1), pages 1-19, March.
    6. Zhang, Xiaoming & Zhang, Xinsong & Lee, Chien-Chiang & Zhao, Yue, 2023. "Measurement and prediction of systemic risk in China’s banking industry," Research in International Business and Finance, Elsevier, vol. 64(C).
    7. Tatiana Gaelle Yongoua Tchikanda, 2017. "Systemic risk and individual risk: A trade-off?," EconomiX Working Papers 2017-16, University of Paris Nanterre, EconomiX.
    8. Yaya Su & Zhehao Huang & Benjamin M. Drakeford, 2019. "Monetary Policy, Industry Heterogeneity and Systemic Risk—Based on a High Dimensional Network Analysis," Sustainability, MDPI, vol. 11(22), pages 1-15, November.
    9. Wu, Fei, 2019. "Sectoral contributions to systemic risk in the Chinese stock market," Finance Research Letters, Elsevier, vol. 31(C).
    10. Wang, Zongrun & Zhu, Huan & Mi, Yunlong, 2025. "Multidimensional risk contagions in commodity markets: A multi-layer information networks method," The North American Journal of Economics and Finance, Elsevier, vol. 79(C).
    11. Chiara Pederzoli & Costanza Torricelli, 2017. "Systemic risk measures and macroprudential stress tests: an assessment over the 2014 EBA exercise," Annals of Finance, Springer, vol. 13(3), pages 237-251, August.
    12. Wang, Gang-Jin & Jiang, Zhi-Qiang & Lin, Min & Xie, Chi & Stanley, H. Eugene, 2018. "Interconnectedness and systemic risk of China's financial institutions," Emerging Markets Review, Elsevier, vol. 35(C), pages 1-18.
    13. Chang, Carolyn W. & Li, Xiaodan & Lin, Edward M.H. & Yu, Min-Teh, 2018. "Systemic risk, interconnectedness, and non-core activities in Taiwan insurance industry," International Review of Economics & Finance, Elsevier, vol. 55(C), pages 273-284.
    14. Cristina Zeldea, 2020. "Modeling the Connection between Bank Systemic Risk and Balance-Sheet Liquidity Proxies through Random Forest Regressions," Administrative Sciences, MDPI, vol. 10(3), pages 1-14, August.
    15. Daniel Felix Ahelegbey & Paolo Giudici, 2020. "Market Risk, Connectedness and Turbulence: A Comparison of 21st Century Financial Crises," DEM Working Papers Series 188, University of Pavia, Department of Economics and Management.
    16. Fan, Xiaoyun & Wang, Yedong & Wang, Daoping, 2021. "Network connectedness and China's systemic financial risk contagion——An analysis based on big data," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
    17. Jian, Zhihong & Li, Xupei, 2021. "Skewness-based market integration: A systemic risk measure across international equity markets," International Review of Financial Analysis, Elsevier, vol. 74(C).
    18. Dewenter, Kathryn L. & Riddick, Leigh A., 2018. "What's the value of a TBTF guaranty? Evidence from the G-SII designation for insurance companies✰," Journal of Banking & Finance, Elsevier, vol. 91(C), pages 70-85.
    19. Dinger, Valeriya & Grundke, Peter & Rohde, Kai, 2025. "On the risk commonality of US tech firms: Relevance and determinants," Technological Forecasting and Social Change, Elsevier, vol. 217(C).
    20. Li, Yan & Qian, Zongxin, 2026. "Systemic risk measures and macroeconomic shocks: An update of empirical evidence," Journal of Financial Stability, Elsevier, vol. 84(C).
    21. Andrea Mazzocchetti & Eliana Lauretta & Marco Raberto & Andrea Teglio & Silvano Cincotti, 2020. "Systemic financial risk indicators and securitised assets: an agent-based framework," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(1), pages 9-47, January.
    22. Wang, Bo & Xiao, Yang, 2024. "Measuring spatial impacts and tracking cross-border risk," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 50-84.
    23. Maghyereh, Aktham & Abdoh, Hussein, 2024. "Tail risk connectedness among GCC banks episodes from the Global Financial Crisis to COVID-19 pandemic," The Quarterly Review of Economics and Finance, Elsevier, vol. 96(C).
    24. Cevik, Emrah Ismail & Caliskan Terzioglu, Hande & Kilic, Yunus & Bugan, Mehmet Fatih & Dibooglu, Sel, 2024. "Interconnectedness and systemic risk: Evidence from global stock markets," Research in International Business and Finance, Elsevier, vol. 69(C).
    25. Jianxu Liu & Quanrui Song & Yang Qi & Sanzidur Rahman & Songsak Sriboonchitta, 2020. "Measurement of Systemic Risk in Global Financial Markets and Its Application in Forecasting Trading Decisions," Sustainability, MDPI, vol. 12(10), pages 1-15, May.
    26. Wang, Gang-Jin & Xie, Chi & Zhao, Longfeng & Jiang, Zhi-Qiang, 2018. "Volatility connectedness in the Chinese banking system: Do state-owned commercial banks contribute more?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 57(C), pages 205-230.
    27. Yang, Xin & Wen, Shigang & Zhao, Xian & Huang, Chuangxia, 2020. "Systemic importance of financial institutions: A complex network perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
    28. Yang, Yaming, 2026. "Forecasting systemic risk measures using a dynamic semiparametric approach based on the Asymmetric Laplace distribution," International Journal of Forecasting, Elsevier, vol. 42(3), pages 989-1007.
    29. Javier Ojea-Ferreiro, 2021. "Deconstructing systemic risk: A reverse stress testing approach," CNMV Working Papers CNMV Working Papers no. 7, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
    30. Abedifar, Pejman & Giudici, Paolo & Hashem, Shatha Qamhieh, 2017. "Heterogeneous market structure and systemic risk: Evidence from dual banking systems," Journal of Financial Stability, Elsevier, vol. 33(C), pages 96-119.
    31. Li, Yueshan & Chen, Shoudong & Sensoy, Ahmet & Wang, Lu, 2024. "Over-expected shocks and financial market security: Evidence from China's markets," Research in International Business and Finance, Elsevier, vol. 68(C).
    32. Fang, Guobin & Zhou, Xuehua & Ma, Huimin & Zhao, XiaoFang & Deng, YaoXun & Xie, Luoyan, 2025. "Economic policy uncertainty, investor sentiment and systemic financial risk: Evidence from China," The North American Journal of Economics and Finance, Elsevier, vol. 76(C).
    33. Gunay, Samet & Altınkeski, Buket Kırcı & Ismail Çevik, Emrah & Goodell, John W., 2023. "Quantifying systemic risk in the cryptocurrency market: A sectoral analysis," Finance Research Letters, Elsevier, vol. 58(PC).
    34. Wided Khiari & Salim Ben Sassi, 2019. "On Identifying the Systemically Important Tunisian Banks: An Empirical Approach Based on the △CoVaR Measures," Risks, MDPI, vol. 7(4), pages 1-15, December.
    35. Sabrina Aufiero & Silvia Bartolucci & Fabio Caccioli & Pierpaolo Vivo, 2025. "Mapping Microscopic and Systemic Risks in TradFi and DeFi: a literature review," Papers 2508.12007, arXiv.org.
    36. Denisa Banulescu-Radu & Christophe Hurlin & Jérémy Leymarie & Olivier Scaillet, 2021. "Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures," Management Science, INFORMS, vol. 67(9), pages 5730-5754, September.
    37. Qicheng Zhao & Zhouwei Wang & Yuping Song, 2024. "Systematic Research on Multi-dimensional and Multiple Correlation Contagion Networks of Extreme Risk in China’s Banking Industry," Computational Economics, Springer;Society for Computational Economics, vol. 64(2), pages 1137-1162, August.
    38. Sinem Derindere Köseoğlu, 2023. "Understanding Systemic Risk Dynamics and Economic Growth: Evidence from the Turkish Banking System," Sustainability, MDPI, vol. 15(19), pages 1-24, September.
    39. Narayan, Shivani & Kumar, Dilip, 2024. "Unveiling interconnectedness and risk spillover among cryptocurrencies and other asset classes," Global Finance Journal, Elsevier, vol. 62(C).
    40. Huo, Da & Shi, Yongdong & Wang, Chao & Wang, Lihan & Xing, Weize & Yang, Mo & Zhao, Jingjing, 2025. "Measuring systemic risk in China: A new hybrid approach incorporating ensemble learning and risk spillover networks," Pacific-Basin Finance Journal, Elsevier, vol. 91(C).
    41. Asgharian, Hossein & Krygier, Dominika & Vilhelmsson, Anders, 2019. "Systemic Risk and Centrality Revisited: The Role of Interactions," Working Papers 2019:4, Lund University, Department of Economics.
    42. Ahelegbey, Daniel Felix & Giudici, Paolo, 2022. "NetVIX — A network volatility index of financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 594(C).
    43. 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).
    44. 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.
    45. Li, Yueshan & Chen, Shoudong & Goodell, John W. & Yue, Dianmin & Liu, Xutang, 2023. "Sectoral spillovers and systemic risks: Evidence from China," Finance Research Letters, Elsevier, vol. 55(PB).
    46. Jiang, Cheng & Sun, Qian & Ye, Tanglin & Wang, Qingyun, 2023. "Identification of systemically important financial institutions in a multiplex financial network: A multi-attribute decision-based approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 611(C).
    47. Domenico Di Gangi & Fabrizio Lillo & Davide Pirino, 2015. "Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction," Papers 1509.00607, arXiv.org, revised Jul 2018.
    48. Ozili, Peterson K, 2019. "Non-performing loans in European systemic and non-systemic banks," MPRA Paper 94008, University Library of Munich, Germany.
    49. Narayan, Shivani & Kumar, Dilip, 2024. "Macroprudential policy and systemic risk in G20 nations," Journal of Financial Stability, Elsevier, vol. 75(C).
    50. Shaw, Frances & Dunne, Peter G., 2017. "Investment Fund Risk: The Tale in the Tails," Research Technical Papers 01/RT/17, Central Bank of Ireland.
    51. Tatiana Gaelle Yongoua Tchikanda, 2017. "Systemic risk and individual risk: A trade-off?," Working Papers hal-04141656, HAL.
    52. Li, Wei-Zhen & Zhai, Jin-Rui & Jiang, Zhi-Qiang & Wang, Gang-Jin & Zhou, Wei-Xing, 2022. "Predicting tail events in a RIA-EVT-Copula framework," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 600(C).
    53. Chen, Wei & Hou, Xiaoli & Jiang, Manrui & Jiang, Cheng, 2022. "Identifying systemically important financial institutions in complex network: A case study of Chinese stock market," Emerging Markets Review, Elsevier, vol. 50(C).
    54. Henryk Gurgul & Roland Mestel & Robert Syrek, 2017. "MIDAS models in banking sector – systemic risk comparison," Managerial Economics, AGH University of Science and Technology, Faculty of Management, vol. 18(2), pages 165-181.
    55. Usman, Muhammad & Umar, Zaghum & Choi, Sun-Yong & Teplova, Tamara, 2024. "Quantifying endogenous and exogenous shocks to financial sector systemic risk: A comparison of GFC and COVID-19," The Quarterly Review of Economics and Finance, Elsevier, vol. 94(C), pages 281-293.
    56. Narayan, Shivani & Kumar, Dilip & Bouri, Elie, 2023. "Systemically important financial institutions and drivers of systemic risk: Evidence from India," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
    57. Gunay, Samet & Kirimhan, Destan & Cevik, Emrah Ismail, 2024. "Commodity market downturn: Systemic risk and spillovers during left tail events," Journal of Commodity Markets, Elsevier, vol. 36(C).
    58. Xin Yang & Shan Chen & Hong Liu & Xiaoguang Yang & Chuangxia Huang, 2023. "Jump volatility spillover network based measurement of systemic importance of Chinese financial institutions," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 1201-1213, April.
    59. Yingdong Wang & Wenzhi Xi, 2025. "Measurement and Early Warning of Systemic Financial Risk in China: Markov Switching Models," Computational Economics, Springer;Society for Computational Economics, vol. 66(6), pages 5083-5111, December.
    60. Curcio, Domenico & Gianfrancesco, Igor & Vioto, Davide, 2023. "Climate change and financial systemic risk: Evidence from US banks and insurers," Journal of Financial Stability, Elsevier, vol. 66(C).
    61. Yang, Xite & Zhang, Qin & Liu, Haiyue & Liu, Zihan & Tao, Qiufan & Lai, Yongzeng & Huang, Linya, 2024. "Economic policy uncertainty, macroeconomic shocks, and systemic risk: Evidence from China," The North American Journal of Economics and Finance, Elsevier, vol. 69(PA).
    62. Qin, Xiao & Zhou, Chen, 2021. "Systemic risk allocation using the asymptotic marginal expected shortfall," Journal of Banking & Finance, Elsevier, vol. 126(C).
    63. Chen, Ning & Li, Shaofang & Tian, Sihua & Lu, Shuai, 2025. "Multidimensional risk connectedness among global systemically important financial institutions: A multilayer spillover network analysis," Economic Analysis and Policy, Elsevier, vol. 88(C), pages 529-556.
    64. Zhiwei Zhang & Dayong Zhang & Fei Wu & Qiang Ji, 2021. "Systemic risk in the Chinese financial system: A copula‐based network approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2044-2063, April.
    65. Lourme, Alexandre & Maurer, Frantz, 2017. "Testing the Gaussian and Student's t copulas in a risk management framework," Economic Modelling, Elsevier, vol. 67(C), pages 203-214.
    66. Edward M. H. Lin & Edward W. Sun & Min-Teh Yu, 2018. "Systemic risk, financial markets, and performance of financial institutions," Annals of Operations Research, Springer, vol. 262(2), pages 579-603, March.
    67. Caporin, Massimiliano & Costola, Michele & Garibal, Jean-Charles & Maillet, Bertrand, 2022. "Systemic risk and severe economic downturns: A targeted and sparse analysis," Journal of Banking & Finance, Elsevier, vol. 134(C).
    68. Akcay, Mustafa & Elyasiani, Elyas, 2021. "The link between the federal funds rate and banking system distress: An empirical investigation," Journal of Macroeconomics, Elsevier, vol. 67(C).
    69. Chen, Qihao & Huang, Zhuo & Liang, Fang, 2023. "Measuring systemic risk with high-frequency data: A realized GARCH approach," Finance Research Letters, Elsevier, vol. 54(C).
    70. Ba, Shusong & Li, Lu & Huang, Wenli & Yang, Chen, 2020. "Heterogeneity risks and negative externality," Economic Modelling, Elsevier, vol. 87(C), pages 401-415.
    71. Cevik, Emrah Ismail & Kenc, Turalay & Goodell, John W. & Gunay, Samet, 2025. "Enhancing banking systemic risk indicators by incorporating volatility clustering, variance risk premiums, and considering distance-to-capital," International Review of Economics & Finance, Elsevier, vol. 97(C).
    72. Zhang, Xingmin & Fu, Qiang & Lu, Liping & Wang, Qingyu & Zhang, Shuai, 2021. "Bank liquidity creation, network contagion and systemic risk: Evidence from Chinese listed banks," Journal of Financial Stability, Elsevier, vol. 53(C).
    73. Naifar, Nader & Shahzad, Syed Jawad Hussain, 2022. "Tail event-based sovereign credit risk transmission network during COVID-19 pandemic," Finance Research Letters, Elsevier, vol. 45(C).
    74. Fei Wu & Zhiwei Zhang & Dayong Zhang & Qiang Ji, 2023. "Identifying systemically important financial institutions in China: new evidence from a dynamic copula-CoVaR approach," Annals of Operations Research, Springer, vol. 330(1), pages 119-153, November.
    75. Fang, Sheng & Cao, Guangxi & Egan, Paul, 2023. "Forecasting and backtesting systemic risk in the cryptocurrency market," Finance Research Letters, Elsevier, vol. 54(C).

Chapters

    Sorry, no citations of chapters recorded.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 1 paper announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-BIG: Big Data (1) 2021-11-22
  2. NEP-CMP: Computational Economics (1) 2021-11-22
  3. NEP-IAS: Insurance Economics (1) 2021-11-22

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Denisa Banulescu-Radu should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.