Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks †

Keywords

Systemic risk, Financial crisis, Economics, Ranking (information retrieval), Sovereign debt

References

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• Taxing Systemic RiskViral V. Acharya, Lasse Heje Pedersen, Thomas Philippon — 2013
• Volatility, Correlation and Tails for Systemic Risk MeasurementRobert F. Engle — 2010
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• Volatility, Correlation and Tails for Systemic Risk MeasurementR. Engle — 2010
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Cited by

• Learning Network Structure of Financial Institutions from CDS DataChanatip Kitwiwattanachai — 2015
• Essays on Systemic Risk and Stock Market ContagionClaudio Nicolai Wewel — 2014
• The Impact of Policy Interventions on Systemic Risk across BanksSimona Mutu, Steven Ongena — 2017
• Enhancing Prudential Standards in Financial RegulationsFranklin Allen, Itay Goldstein, Julapa Jagtiani — 2014
• Main Romanian Commercial Banks’ Systemic Risk during Financial Crisis: a CoVar ApproachGabriela Victoria Anghelache, Dumitru-Cristian Oanea — 2014
• Bank stock performance and bank regulation around the globeMatthias Pelster, Felix Irresberger, Gregor Weiß — 2018
• Systemic Risk and Bank FailureDeming Wu, Xinlei Shelly Zhao — 2014
• Is Europe Overbanked?Marco Pagano, Sam Langfield, Viral V. Acharya — 2014
• Are Market-Based Rankings of Global Systemically Important Financial Institutions Useful for Regulators?Qi Zhang, Francesco Vallascas, Kevin Keasey — 2014
• Monitoring the European CDS Market Through Networks: Implications for Contagion RisksLaurent Clerc, Silvia Gabrieli, Steffen Kern — 2014
• Robustness, Validity and Significance of the ECB's Asset Quality Review and Stress Test ExerciseSascha Steffen — 2014
• Testing for the Systemically Important Financial Institutions: a Conditional ApproachSessi Tokpavi — 2013
• Assessing systematic risk in the S&P500 index between 2000 and 2011: A Bayesian nonparametric approachAbel Rodríguez, Ziwei Wang, Athanasios Kottas — 2017
• Sophisticated vs. Simple Systemic Risk MeasuresDavid Pankoke — 2014
• The Impact of Sovereign ShocksGerardo Manzo, Antonio Picca — 2020
• Systemic risk and bank business modelsMaarten R.C. van Oordt, Chen Zhou — 2018
• The Information in Systemic Risk RankingsFederico Nucera, Bernd Schwaab, Siem Jan Koopman — 2016
• Is There a Competition-Stability Trade-Off in European Banking?Aurélien Leroy, Yannick Lucotte — 2017
• Pitfalls in the Use of Systemic Risk MeasuresGunter LLffler, Peter Raupach — 2018
• Four essays in financial econometricsDenisa Banulescu — 2014

Related papers

• Banking, financial markets, and systemic riskGeorge G. Kaufman — 1995
• Global systemic risk measures and their forecasting power for systemic eventsPeter Grundke, Michael Tuchscherer — 2018
• The multi-layer network nature of systemic risk and its implications for the costs of financial crisesSebastian Poledna, José Luis Molina-Borboa, Serafín Martínez-Jaramillo — 2015
• Taxing Systemic RiskViral V. Acharya, Lasse Heje Pedersen, Thomas Philippon — 2013
• Assessing the Systemic Risk Between American and European Financial SystemsAyhan Orhan, Vahit Ferhan Benli, Rui Alexandre Castanho — 2020