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Where the Risks Lie: A Survey on Systemic Risk

Citations

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Cited by:

  1. T. R. Hurd, 2023. "Systemic cascades on inhomogeneous random financial networks," Mathematics and Financial Economics, Springer, volume 17, number 1, June.
  2. Somnath Chatterjee & Marea Sing, 2021. "Measuring Systemic Risk in South African Banks," Working Papers 11004, South African Reserve Bank.
  3. Nucera, Federico & Schwaab, Bernd & Koopman, Siem Jan & Lucas, André, 2016. "The information in systemic risk rankings," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 461-475.
  4. Caporin, Massimiliano & Fontini, Fulvio & Panzica, Roberto, 2023. "The systemic risk of US oil and natural gas companies," Energy Economics, Elsevier, vol. 121(C).
  5. Yann Braouezec & Lakshithe Wagalath, 2018. "Risk-Based Capital Requirements and Optimal Liquidation in a Stress Scenario [Testing macroprudential stress tests: the risk of regulatory risk weights]," Review of Finance, European Finance Association, vol. 22(2), pages 747-782.
  6. 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.
  7. Cerqueti, Roy & Ciciretti, Rocco & Dalò, Ambrogio & Nicolosi, Marco, 2021. "ESG investing: A chance to reduce systemic risk," Journal of Financial Stability, Elsevier, vol. 54(C).
  8. Kinateder, Harald & Choudhury, Tonmoy & Zaman, Rashid & Scagnelli, Simone D. & Sohel, Nurul, 2021. "Does boardroom gender diversity decrease credit risk in the financial sector? Worldwide evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
  9. Peter Grundke, 2019. "Ranking consistency of systemic risk measures: a simulation-based analysis in a banking network model," Review of Quantitative Finance and Accounting, Springer, vol. 52(4), pages 953-990, May.
  10. Alexandra-Maria Chiper, 2023. "Financial Risk Optimisation Methods: A Survey," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 31, pages 155-168, June.
  11. Abhishek Srivastav & Francesco Vallascas, 2022. "Small Business Lending and Regulation for Small Banks," Management Science, INFORMS, vol. 68(10), pages 7742-7760, October.
  12. Vukovic, Darko B. & Lapshina, Kseniya A. & Maiti, Moinak, 2021. "Wavelet coherence analysis of returns, volatility and interdependence of the US and the EU money markets: Pre & post crisis," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  13. Hai-Chuan Xu & Fredj Jawadi & Jie Zhou & Wei-Xing Zhou, 2023. "Quantifying interconnectedness and centrality ranking among financial institutions with TVP-VAR framework," Empirical Economics, Springer, vol. 65(1), pages 93-110, July.
  14. Berger, Allen N. & Roman, Raluca A. & Sedunov, John, 2020. "Did TARP reduce or increase systemic risk? The effects of government aid on financial system stability," Journal of Financial Intermediation, Elsevier, vol. 43(C).
  15. Asgharian, Hossein & Krygier, Dominika & Vilhelmsson, Anders, 2019. "Systemic Risk and Centrality Revisited:The Role of Interactions," Knut Wicksell Working Paper Series 2019/1, Lund University, Knut Wicksell Centre for Financial Studies.
  16. Boyer, Pierre C. & Kempf, Hubert, 2020. "Regulatory arbitrage and the efficiency of banking regulation," Journal of Financial Intermediation, Elsevier, vol. 41(C).
  17. Matteo Accornero & Mirko Moscatelli, 2018. "Listening to the buzz: social media sentiment and retail depositors' trust," Temi di discussione (Economic working papers) 1165, Bank of Italy, Economic Research and International Relations Area.
  18. Franklin Allen & Itay Goldstein & Julapa Jagtiani, 2018. "The Interplay among Financial Regulations, Resilience, and Growth," Journal of Financial Services Research, Springer;Western Finance Association, vol. 53(2), pages 141-162, June.
  19. Daníelsson, Jón & Macrae, Robert & Uthemann, Andreas, 2022. "Artificial intelligence and systemic risk," Journal of Banking & Finance, Elsevier, vol. 140(C).
  20. Raisul Islam & Vladimir Volkov, 2022. "Contagion or interdependence? Comparing spillover indices," Empirical Economics, Springer, vol. 63(3), pages 1403-1455, September.
  21. Buch, Claudia M. & Krause, Thomas & Tonzer, Lena, 2019. "Drivers of systemic risk: Do national and European perspectives differ?," Journal of International Money and Finance, Elsevier, vol. 91(C), pages 160-176.
  22. Goldman, Elena, 2023. "Uncertainty in systemic risks rankings: Bayesian and frequentist analysis," Finance Research Letters, Elsevier, vol. 56(C).
  23. Matteo Barigozzi & Marc Hallin & Stefano Soccorsi, 2019. "Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness," Working Papers ECARES 2019-09, ULB -- Universite Libre de Bruxelles.
  24. Clemente, Gian Paolo & Cornaro, Alessandra, 2022. "A multilayer approach for systemic risk in the insurance sector," Chaos, Solitons & Fractals, Elsevier, vol. 162(C).
  25. Laleh Tafakori & Armin Pourkhanali & Riccardo Rastelli, 2022. "Measuring systemic risk and contagion in the European financial network," Empirical Economics, Springer, vol. 63(1), pages 345-389, July.
  26. Roland Füss & Daniel Ruf, 2018. "Office Market Interconnectedness and Systemic Risk Exposure," Working Papers on Finance 1830, University of St. Gallen, School of Finance.
  27. Benjamin Bernard & Agostino Capponi & Joseph E. Stiglitz, 2022. "Bail-Ins and Bailouts: Incentives, Connectivity, and Systemic Stability," Journal of Political Economy, University of Chicago Press, vol. 130(7), pages 1805-1859.
  28. van de Leur, Michiel C.W. & Lucas, André & Seeger, Norman J., 2017. "Network, market, and book-based systemic risk rankings," Journal of Banking & Finance, Elsevier, vol. 78(C), pages 84-90.
  29. Chiang, Shu-hen & Chen, Chien-Fu, 2022. "From systematic to systemic risk among G7 members: Do the stock or real estate markets matter?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
  30. Michaelides, Alexander & Kokas, Sotirios & Gupta, Abhimanyu, 2017. "Credit Market Spillovers: Evidence from a Syndicated Loan Market Network," CEPR Discussion Papers 12424, C.E.P.R. Discussion Papers.
  31. Bevilacqua, Mattia & Tunaru, Radu & Vioto, Davide, 2020. "Options-based systemic risk, financial distress, and macroeconomic downturns," LSE Research Online Documents on Economics 118850, London School of Economics and Political Science, LSE Library.
  32. Zhang, Ping & Yin, Shiqi & Sha, Yezhou, 2023. "Global systemic risk dynamic network connectedness during the COVID-19: Evidence from nonlinear Granger causality," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
  33. Georg Leitner & Teresa Hübel & Anna Wolfmayr & Manuel Zerobin, 2021. "How risky is Monetary Policy? The Effect of Monetary Policy on Systemic Risk in the Euro Area," Department of Economics Working Papers wuwp312, Vienna University of Economics and Business, Department of Economics.
  34. Jondeau, Eric & Khalilzadeh, Amir, 2022. "Predicting the stressed expected loss of large U.S. banks," Journal of Banking & Finance, Elsevier, vol. 134(C).
  35. Hongjun Zeng & Ran Lu & Abdullahi D. Ahmed, 2023. "Dynamic dependencies and return connectedness among stock, gold and Bitcoin markets: Evidence from South Asia and China," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 18(1), pages 49-87, March.
  36. Gupta, Aparna & Wang, Runzu & Lu, Yueliang, 2021. "Addressing systemic risk using contingent convertible debt – A network analysis," European Journal of Operational Research, Elsevier, vol. 290(1), pages 263-277.
  37. Będowska-Sójka, Barbara & Kliber, Agata, 2022. "Can cryptocurrencies hedge oil price fluctuations? A pandemic perspective," Energy Economics, Elsevier, vol. 115(C).
  38. Spiros Bougheas & Adam Hal Spencer, 2022. "Fire Sales and Ex Ante Valuation of Systemic Risk: A Financial Equilibrium Networks Approach," CESifo Working Paper Series 10111, CESifo.
  39. Andrieş, Alin Marius & Ongena, Steven & Sprincean, Nicu & Tunaru, Radu, 2022. "Risk spillovers and interconnectedness between systemically important institutions," Journal of Financial Stability, Elsevier, vol. 58(C).
  40. Mustafa Hakan Eratalay & Ariana Paola Cortés Ángel, 2022. "The Impact of ESG Ratings on the Systemic Risk of European Blue-Chip Firms," JRFM, MDPI, vol. 15(4), pages 1-41, March.
  41. Yang, Jian & Yu, Ziliang & Ma, Jun, 2019. "China's financial network with international spillovers: A first look," Pacific-Basin Finance Journal, Elsevier, vol. 58(C).
  42. Anna Denkowska & Stanisław Wanat, 2020. "A Tail Dependence-Based MST and Their Topological Indicators in Modeling Systemic Risk in the European Insurance Sector," Risks, MDPI, vol. 8(2), pages 1-22, April.
  43. Nevrla, Matěj, 2020. "Systemic risk in European financial and energy sectors: Dynamic factor copula approach," Economic Systems, Elsevier, vol. 44(4).
  44. Mikhail Stolbov & Alexander Karminsky & Maria Shchepeleva, 2018. "Does Economic Policy Uncertainty Lead Systemic Risk? A Comparative Analysis of Selected European Countries," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 60(3), pages 332-360, September.
  45. Martin Indergand & Eric Jondeau & Andreas Fuster, 2022. "Measuring and Stress-Testing Market-Implied Bank Capital," Swiss Finance Institute Research Paper Series 22-11, Swiss Finance Institute.
  46. Alessandro Ferracci & Giulio Cimini, 2021. "Systemic risk in interbank networks: disentangling balance sheets and network effects," Papers 2109.14360, arXiv.org, revised Sep 2022.
  47. 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.
  48. 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).
  49. Jean-Baptiste Hasse, 2020. "Systemic Risk: a Network Approach," Working Papers halshs-02893780, HAL.
  50. Kubitza, Christian & Regele, Fabian, 2017. "Persistence of insurance activities and financial stability," ICIR Working Paper Series 30/17, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
  51. Liu, Frank Hong & Norden, Lars & Spargoli, Fabrizio, 2020. "Does uniqueness in banking matter?," Journal of Banking & Finance, Elsevier, vol. 120(C).
  52. Asako Chiba, 2022. "Bank capital and liquidity regulation," Journal of Banking Regulation, Palgrave Macmillan, vol. 23(2), pages 120-138, June.
  53. Yan, Guan & Trück, Stefan, 2020. "A dynamic network analysis of spot electricity prices in the Australian national electricity market," Energy Economics, Elsevier, vol. 92(C).
  54. Gian Paolo Clemente & Rosanna Grassi & Chiara Pederzoli, 2020. "Networks and market-based measures of systemic risk: the European banking system in the aftermath of the financial crisis," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(1), pages 159-181, January.
  55. Chavleishvili, Sulkhan & Fahr, Stephan & Kremer, Manfred & Manganelli, Simone & Schwaab, Bernd, 2021. "A risk management perspective on macroprudential policy," Working Paper Series 2556, European Central Bank.
  56. Kund, Arndt-Gerrit & Petras, Matthias, 2023. "Can CoCo-bonds mitigate systemic risk?," International Review of Financial Analysis, Elsevier, vol. 89(C).
  57. Halili, Alba & Fenech, Jean-Pierre & Contessi, Silvio, 2021. "Credit Derivatives and Bank Systemic Risk: Risk Enhancing or Reducing?," Finance Research Letters, Elsevier, vol. 42(C).
  58. Silva, Thiago Christiano & Alexandre, Michel da Silva & Tabak, Benjamin Miranda, 2018. "Bank lending and systemic risk: A financial-real sector network approach with feedback," Journal of Financial Stability, Elsevier, vol. 38(C), pages 98-118.
  59. Hélène Rainelli & Hélène Rainelli-Weiss, 2019. "Recherche en finance : quand la performativité invite à la réflexivité," Post-Print halshs-02025011, HAL.
  60. 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).
  61. Michele Leonardo Bianchi & Alberto Maria Sorrentino, 2020. "Measuring CoVaR: An Empirical Comparison," Computational Economics, Springer;Society for Computational Economics, vol. 55(2), pages 511-528, February.
  62. Lee, Jin-Ping & Lin, Edward M.H. & Lin, James Juichia & Zhao, Yang, 2020. "Bank systemic risk and CEO overconfidence," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  63. Sylvain Benoit & Christophe Hurlin & Christophe Perignon, 2015. "Implied Risk Exposures," Review of Finance, European Finance Association, vol. 19(6), pages 2183-2222.
  64. Matteo Foglia & Eliana Angelini, 2019. "The Time-Spatial Dimension of Eurozone Banking Systemic Risk," Risks, MDPI, vol. 7(3), pages 1-25, July.
  65. Li, Jingyu & Yao, Yanzhen & Li, Jianping & Zhu, Xiaoqian, 2019. "Network-based estimation of systematic and idiosyncratic contagion: The case of Chinese financial institutions," Emerging Markets Review, Elsevier, vol. 40(C), pages 1-1.
  66. Fukker, Gábor & Kaijser, Michiel & Mingarelli, Luca & Sydow, Matthias, 2022. "Contagion from market price impact: a price-at-risk perspective," Working Paper Series 2692, European Central Bank.
  67. Bonaccolto, Giovanni & Caporin, Massimiliano & Paterlini, Sandra, 2019. "Decomposing and backtesting a flexible specification for CoVaR," Journal of Banking & Finance, Elsevier, vol. 108(C).
  68. Feng, Yusen & Wang, Gang-Jin & Zhu, You & Xie, Chi, 2023. "Systemic risk spillovers and the determinants in the stock markets of the Belt and Road countries," Emerging Markets Review, Elsevier, vol. 55(C).
  69. Amar, Amine Ben & Goutte, Stéphane & Isleimeyyeh, Mohammad & Benkraiem, Ramzi, 2022. "Commodity markets dynamics: What do cross-commodities over different nearest-to-maturities tell us?," International Review of Financial Analysis, Elsevier, vol. 82(C).
  70. Torri, Gabriele & Giacometti, Rosella & Tichý, Tomáš, 2021. "Network tail risk estimation in the European banking system," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
  71. Mrs. Jana Bricco & Ms. TengTeng Xu, 2019. "Interconnectedness and Contagion Analysis: A Practical Framework," IMF Working Papers 2019/220, International Monetary Fund.
  72. Craig, Ben & Ma, Yiming, 2022. "Intermediation in the interbank lending market," Journal of Financial Economics, Elsevier, vol. 145(2), pages 179-207.
  73. Silva, Thiago Christiano & Tabak, Benjamin Miranda & Guerra, Solange Maria, 2017. "Why do vulnerability cycles matter in financial networks?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 592-606.
  74. Moratis, Georgios & Sakellaris, Plutarchos, 2021. "Measuring the systemic importance of banks," Journal of Financial Stability, Elsevier, vol. 54(C).
  75. Gong, Xiao-Li & Zhao, Min & Wu, Zhuo-Cheng & Jia, Kai-Wen & Xiong, Xiong, 2023. "Research on tail risk contagion in international energy markets—The quantile time-frequency volatility spillover perspective," Energy Economics, Elsevier, vol. 121(C).
  76. Wu, Fei & Zhang, Dayong & Zhang, Zhiwei, 2019. "Connectedness and risk spillovers in China’s stock market: A sectoral analysis," Economic Systems, Elsevier, vol. 43(3).
  77. Umut Akovali, 2020. "Beyond Connectedness: A Covariance Decomposition based Network Risk Model," Koç University-TUSIAD Economic Research Forum Working Papers 2003, Koc University-TUSIAD Economic Research Forum.
  78. Orlov, Dmitry & Zryumov, Pavel & Skrzypacz, Andrzej, 2017. "Design of Macro-prudential Stress Tests," Research Papers 3548, Stanford University, Graduate School of Business.
  79. Montagna, Mattia & Torri, Gabriele & Covi, Giovanni, 2020. "On the origin of systemic risk," Working Paper Series 2502, European Central Bank.
  80. Bachmann, Manuel, 2018. "The Impact of Ex Ante Regulations and Ex Post Interventions on Bank Lending and Solvency," Department of Economics Working Paper Series 269, WU Vienna University of Economics and Business.
  81. Zhang, Yujin & Ye, Shujun & Liu, Jie & Du, Lihong, 2023. "Impact of the development of FinTech by commercial banks on bank credit risk," Finance Research Letters, Elsevier, vol. 55(PA).
  82. Egger, Peter H. & Li, Jie & Zhu, Jiaqing, 2023. "The network and own effects of global-systemically-important-bank designations," Journal of International Money and Finance, Elsevier, vol. 136(C).
  83. Barigozzi, Matteo & Hallin, Marc & Soccorsi, Stefano & von Sachs, Rainer, 2021. "Time-varying general dynamic factor models and the measurement of financial connectedness," Journal of Econometrics, Elsevier, vol. 222(1), pages 324-343.
  84. Marwan Alzoubi & Ayman Abdalmajeed Alsmadi & Hamad kasasbeh, 2022. "Systemically Important Bank: A Bibliometric Analysis for the Period of 2002 to 2022," SAGE Open, , vol. 12(4), pages 21582440221, December.
  85. Hamed Amini & Zhongyuan Cao & Andreea Minca & Agn`es Sulem, 2023. "Ruin Probabilities for Risk Processes in Stochastic Networks," Papers 2302.06668, arXiv.org.
  86. Gofman, Michael, 2017. "Efficiency and stability of a financial architecture with too-interconnected-to-fail institutions," Journal of Financial Economics, Elsevier, vol. 124(1), pages 113-146.
  87. Dai, Zhifeng & Tang, Rui & Zhang, Xinhua, 2023. "Multilayer network analysis for measuring the inter-connectedness between the oil market and G20 stock markets," Energy Economics, Elsevier, vol. 120(C).
  88. Chen, Bin-xia & Sun, Yan-lin, 2022. "The impact of VIX on China’s financial market: A new perspective based on high-dimensional and time-varying methods," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
  89. Billio, Monica & Caporin, Massimiliano & Frattarolo, Lorenzo & Pelizzon, Loriana, 2023. "Networks in risk spillovers: A multivariate GARCH perspective," Econometrics and Statistics, Elsevier, vol. 28(C), pages 1-29.
  90. Matthew O. Jackson & Brian W. Rogers & Yves Zenou, 2017. "The Economic Consequences of Social-Network Structure," Journal of Economic Literature, American Economic Association, vol. 55(1), pages 49-95, March.
  91. Iwanicz-Drozdowska, Małgorzata & Rogowicz, Karol, 2022. "Does the choice of monetary policy tool matter for systemic risk? The curious case of negative interest rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
  92. Ben Amar, Amine & Goutte, Stéphane & Isleimeyyeh, Mohammad, 2022. "Asymmetric cyclical connectedness on the commodity markets: Further insights from bull and bear markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 85(C), pages 386-400.
  93. Bernardi, Mauro & Maruotti, Antonello & Petrella, Lea, 2017. "Multiple risk measures for multivariate dynamic heavy–tailed models," Journal of Empirical Finance, Elsevier, vol. 43(C), pages 1-32.
  94. Ojea-Ferreiro, Javier & Reboredo, Juan C., 2022. "Exchange rates and the global transmission of equity market shocks," Economic Modelling, Elsevier, vol. 114(C).
  95. Flore, Christian & Degryse, Hans & Kolaric, Sascha & Schiereck, Dirk, 2021. "Forgive me all my sins: How penalties imposed on banks travel through markets," Journal of Corporate Finance, Elsevier, vol. 68(C).
  96. Lartey, Theophilus & James, Gregory A. & Danso, Albert, 2021. "Interbank funding, bank risk exposure and performance in the UK: A three-stage network DEA approach," International Review of Financial Analysis, Elsevier, vol. 75(C).
  97. Bernard, Carole & Cui, Xuecan, 2023. "Impact of systemic risk regulation on optimal policies and asset prices," Journal of Banking & Finance, Elsevier, vol. 154(C).
  98. Christian Brownlees & Robert F. Engle, 2017. "SRISK: A Conditional Capital Shortfall Measure of Systemic Risk," The Review of Financial Studies, Society for Financial Studies, vol. 30(1), pages 48-79.
  99. Füss, Roland & Ruf, Daniel, 2021. "Bank systemic risk exposure and office market interconnectedness," Journal of Banking & Finance, Elsevier, vol. 133(C).
  100. Kolari, James W. & López-Iturriaga, Félix J. & Sanz, Ivan Pastor, 2020. "Measuring systemic risk in the U.S. Banking system," Economic Modelling, Elsevier, vol. 91(C), pages 646-658.
  101. Antonio Di Cesare & Anna Rogantini Picco, 2018. "A Survey of Systemic Risk Indicators," Questioni di Economia e Finanza (Occasional Papers) 458, Bank of Italy, Economic Research and International Relations Area.
  102. Ben Hambly & Andreas Sojmark, 2018. "An SPDE Model for Systemic Risk with Endogenous Contagion," Papers 1801.10088, arXiv.org, revised Sep 2018.
  103. Mikhail I. Stolbov & Maria A. Shchepeleva & Alexander M. Karminsky, 2021. "A global perspective on macroprudential policy interaction with systemic risk, real economic activity, and monetary intervention," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-25, December.
  104. Allen, Franklin & Jagtiani, Julapa & Goldstein, Itay, 2018. "The Interplay between Financial Regulations, Resilience, and Growth," CEPR Discussion Papers 12861, C.E.P.R. Discussion Papers.
  105. He, Chengying & Huang, Ke & Lin, Jianwu & Wang, Tianqi & Zhang, Zuominyang, 2023. "Explain systemic risk of commodity futures market by dynamic network," International Review of Financial Analysis, Elsevier, vol. 88(C).
  106. Ji Ho Kwon, 2021. "On the factors of Bitcoin’s value at risk," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-31, December.
  107. Markus K. Brunnermeier & Patrick Cheridito, 2019. "Measuring and Allocating Systemic Risk," Risks, MDPI, vol. 7(2), pages 1-19, April.
  108. Jean-Baptiste Hasse, 2022. "Systemic risk: a network approach," Empirical Economics, Springer, vol. 63(1), pages 313-344, July.
  109. Shivani Narayan & Dilip Kumar, 2023. "Systemic Risk Transmission from the United States to Asian Economies During the COVID-19 Period," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 22(1), pages 57-84, March.
  110. Cipollini, Fabrizio & Giannozzi, Alessandro & Menchetti, Fiammetta & Roggi, Oliviero, 2020. "The beauty contest between systemic and systematic risk measures: Assessing the empirical performance," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 316-332.
  111. Martin Waltz & Abhay Kumar Singh & Ostap Okhrin, 2022. "Vulnerability-CoVaR: investigating the crypto-market," Quantitative Finance, Taylor & Francis Journals, vol. 22(9), pages 1731-1745, September.
  112. Noureddine Kouaissah & Amin Hocine, 2021. "Forecasting systemic risk in portfolio selection: The role of technical trading rules," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(4), pages 708-729, July.
  113. Chen, Wang & Ho, Kung-Cheng & Yang, Lu, 2020. "Network structures and idiosyncratic contagion in the European sovereign credit default swap market," International Review of Financial Analysis, Elsevier, vol. 72(C).
  114. Gerson N. Cardoso & Geraldo E. Silva, 2024. "Electoral influences on the Brazilian B3 data correlation network," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 251-272, January.
  115. Mutiara Aini & Deddy Priatmodjo Koesrindartoto, 2020. "The Determinants Of Systemic Risk: Evidence From Indonesian Commercial Banks," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 23(1), pages 101-120.
  116. Brownlees, Christian & Chabot, Ben & Ghysels, Eric & Kurz, Christopher, 2020. "Back to the future: Backtesting systemic risk measures during historical bank runs and the great depression," Journal of Banking & Finance, Elsevier, vol. 113(C).
  117. Eric Fina Kamani, 2020. "The effect of the trading activities of banks on systemic risk: does banking industry concentration matter?," Economics Bulletin, AccessEcon, vol. 40(1), pages 542-555.
  118. Eckert, Christian & Gatzert, Nadine & Heidinger, Dinah, 2020. "Empirically assessing and modeling spillover effects from operational risk events in the insurance industry," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 72-83.
  119. Yun, Tae-Sub & Jeong, Deokjong & Park, Sunyoung, 2019. "“Too central to fail” systemic risk measure using PageRank algorithm," Journal of Economic Behavior & Organization, Elsevier, vol. 162(C), pages 251-272.
  120. Fang, Yi & Shao, Zhiquan & Zhao, Yang, 2023. "Risk spillovers in global financial markets: Evidence from the COVID-19 crisis," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 821-840.
  121. Lorenzo Frattarolo & Francesca Parpinel & Claudio Pizzi, 2020. "Combining permutation tests to rank systemically important banks," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 29(3), pages 581-596, September.
  122. Figini, Silvia & Maggi, Mario & Uberti, Pierpaolo, 2020. "The market rank indicator to detect financial distress," Econometrics and Statistics, Elsevier, vol. 14(C), pages 63-73.
  123. Caporin, Massimiliano & Garcia-Jorcano, Laura & Jimenez-Martin, Juan-Angel, 2021. "TrAffic LIght system for systemic Stress: TALIS3," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
  124. Wang, Wei & Xu, Huifu & Ma, Tiejun, 2023. "Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation," European Journal of Operational Research, Elsevier, vol. 306(1), pages 322-347.
  125. Capasso, Salvatore & D'Uva, Marcella & Fiorelli, Cristiana & Napolitano, Oreste, 2023. "Cross-border Italian sovereign risk transmission in EMU countries," Economic Modelling, Elsevier, vol. 126(C).
  126. Leong, Soon Heng & Pellegrini, Carlo Bellavite & Urga, Giovanni, 2020. "The contribution of shadow insurance to systemic risk," Journal of Financial Stability, Elsevier, vol. 51(C).
  127. 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).
  128. Leroy, Aurélien & Lucotte, Yannick, 2017. "Is there a competition-stability trade-off in European banking?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 46(C), pages 199-215.
  129. Paola Cerchiello & Paolo Giudici & Giancarlo Nicola, 2016. "Big data models of bank risk contagion," DEM Working Papers Series 117, University of Pavia, Department of Economics and Management.
  130. Allen, Franklin & Gu, Xian, 2018. "The Interplay between Regulations and Financial Stability," CEPR Discussion Papers 12862, C.E.P.R. Discussion Papers.
  131. Weijia Wang & Shaoan Huang, 2021. "Risk sharing and financial stability: a welfare analysis," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 16(1), pages 211-228, January.
  132. Weidong Lin & Jose Olmo & Abderrahim Taamouti, 2022. "Portfolio Selection Under Systemic Risk," Working Papers 202208, University of Liverpool, Department of Economics.
  133. Popescu, Alexandra & Turcu, Camelia, 2017. "Sovereign debt and systemic risk in the eurozone," Economic Modelling, Elsevier, vol. 67(C), pages 275-284.
  134. Christian Kubitza, 2021. "Tackling the Volatility Paradox: Spillover Persistence and Systemic Risk," ECONtribute Discussion Papers Series 079, University of Bonn and University of Cologne, Germany.
  135. Busch, Pascal & Cappelletti, Giuseppe & Marincas, Vlad & Meller, Barbara & Wildmann, Nadya, 2021. "How useful is market information for the identification of G-SIBs?," Occasional Paper Series 260, European Central Bank.
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