Measuring Systemic Risk

Keywords

Systemic risk, Financial institution, Economics, Leverage (statistics), Harm

References

• Real Effects of the Sovereign Debt Crisis in Europe: Evidence from Syndicated LoansViral V. Acharya, Tim Eisert, Christian Eufinger — 2018
• Bank Stability and Market Discipline: Debt-for-Equity Swap versus Subordinated NotesAlon Raviv — 2004
• Controlling the fiscal costs of banking crisesPatrick Honohan, Daniela Klingebiel — 2000
• Banks’ Noninterest Income and Systemic RiskMarkus K. Brunnermeier, Gang (Nathan) Dong, Darius Palia — 2020
• Coherent Measures of RiskPhilippe Artzner, Freddy Delbaen, Jean‐Marc Eber — 1999
• Regulating Systemic RiskViral V. Acharya, Lasse Heje Pedersen, Thomas Philippon — 2009
• On the significance of expected shortfall as a coherent risk measureKoji Inui, Masaaki Kijima — 2005
• Interbank Lending and Systemic RiskJean Rochet, Jean Tirole — 1996
• A framework for assessing the systemic risk of major financial institutionsXin Huang, Hao Zhou, Haibin Zhu — 2009
• Systemic Risk ContributionsXin Huang, Hao Zhou, Haibin Zhu — 2011
• Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks †Viral V. Acharya, Robert F. Engle, Matthew Richardson — 2012
• A New Capital Regulation for Large Financial InstitutionsOliver Hart, Luigi Zingales — 2011
• Value-at-risk versus expected shortfall: A practical perspectiveYasuhiro Yamai, Toshinao Yoshiba — 2005
• Bank Runs, Deposit Insurance, and LiquidityDouglas W. Diamond, Philip H. Dybvig — 1983
• The Employment Effects of Credit Market Disruptions: Firm-level Evidence from the 2008–9 Financial CrisisGabriel Chodorow-Reich — 2014
• Rare Disasters and Asset Markets in the Twentieth CenturyRobert J. Barro — 2006
• Banking Stability MeasuresCharles Goodhart, Miguel A. Segoviano Basurto, CGoodhart@imf.org — 2009
• Market liquidity and funding liquidityMarkus K. Brunnermeier, Lasse Heje Pedersen — 2009
• Collective Moral Hazard, Maturity Mismatch and Systemic BailoutsEmmanuel Farhi, Jean Tirole — 2009
• Measuring Systemic Risk: A Risk Management ApproachAlfred Lehar — 2005

Cited by

• The Impact of Policy Interventions on Systemic Risk across BanksSimona Mutu, Steven Ongena — 2017
• Pricing Risks across Currency DenominationsThomas Andreas Maurer, Thuy Duong To, Ngoc-Khanh Tran — 2019
• Measuring connectedness of euro area sovereign riskRebekka Buse, Melanie Schienle — 2019
• ROE in Banks: Myth and RealityChristophe Moussu, Arthur Petit-Romec — 2014
• An Introduction to International EconomicsKenneth A. Reinert — 2020
• Optimal Capital Regulation with Two Banking SectorsTaejin Kim, Vishal Mangla — 2012
• Modeling Contagion and Systemic RiskDaniele Bianchi, Monica Billio, Roberto Casarin — 2015
• Risk-Sharing and Contagion in NetworksAntonio Cabrales, Piero Gottardi, Fernando Vega‐Redondo — 2017
• Do Bond Investors Price Tail Risk Exposures of Financial Institutions?Sudheer Chava, Rohan Ganduri, Vijay Yerramilli — 2020
• Syndication, Interconnectedness, and Systemic RiskJian Cai, Anthony Saunders, Sascha Steffen — 2018
• Banks’ Noninterest Income and Systemic RiskMarkus K. Brunnermeier, Gang (Nathan) Dong, Darius Palia — 2020
• Measures of Systemic RiskZachary Feinstein, Birgit Rudloff, Stefan Weber — 2015
• What is the Systemic Risk Exposure of Financial InstitutionsJohn Sedunov — 2016
• Systemic Risk Score: A SuggestionChristophe Hurlin, Christophe Pérignon — 2013
• Can Taxes Tame the Banks? Evidence from the European Bank LeviesMichael Devereux, Niels Johannesen, John Vella — 2019
• Conditional risk measures in a bipartite market structureOliver Kley, Claudia Klüppelberg, Gesine Reinert — 2015
• Why do some banks contribute more to global systemic risk?Denefa Bostandzic, Gregor Weiß — 2018
• The dark side of stress tests: Negative effects of information disclosureRoman Goncharenko, Juraj Hledík, Roberto Pinto — 2018
• Measuring systemic risk in the European banking sector: a copula CoVaR approachEmmanouil Karimalis, Nikos K. Nomikos — 2017
• Multivariate Shortfall Risk Allocation and Systemic RiskYannick Armenti, Stéphane Crépey, Samuel Drapeau — 2015

Related papers

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• Measuring Systemic Risk in the Korean Banking Sector via Dynamic Conditional Correlation ModelsJaeho Yun, Hyejung Moon — 2013
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• The Systemic Importance of Financial InstitutionsNikola Tarashev, Claudio Borio, Kostas Tsatsaronis — 2009