Backtesting Systemic Risk Measures During Historical Bank Runs
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References listed on IDEAS
- Ghysels, Eric & Santa-Clara, Pedro & Valkanov, Rossen, 2005.
"There is a risk-return trade-off after all,"
Journal of Financial Economics,
Elsevier, vol. 76(3), pages 509-548, June.
- Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2003. "There is a Risk-Return Tradeoff After All," CIRANO Working Papers 2003s-26, CIRANO.
- Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "There is a Risk-Return Tradeoff After All," CIRANO Working Papers 2004s-24, CIRANO.
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- repec:kap:rqfnac:v:52:y:2019:i:4:d:10.1007_s11156-018-0732-7 is not listed on IDEAS
- Sanjiv R. Das & Kris James Mitchener & Angela Vossmeyer, 2018. "Systemic Risk and the Great Depression," CESifo Working Paper Series 7425, CESifo Group Munich.
- Das, Sanjiv & Mitchener, Kris James & Vossmeyer, Angela, 2018. "Systemic Risk and the Great Depression," CEPR Discussion Papers 13416, C.E.P.R. Discussion Papers.
- Gilbert Colletaz & Grégory Levieuge & Alexandra Popescu, 2018. "Monetary Policy and Long-Run Systemic Risk-Taking," Working papers 694, Banque de France.
More about this item
KeywordsFinancial crisis; Systemic risk; Stress testing; credit risk; High-frequency data;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- 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
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-BAN-2015-12-12 (Banking)
- NEP-CBA-2015-12-12 (Central Banking)
- NEP-HIS-2015-12-12 (Business, Economic & Financial History)
- NEP-IAS-2015-12-12 (Insurance Economics)
- NEP-MST-2015-12-12 (Market Microstructure)
- NEP-RMG-2015-12-12 (Risk Management)
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