Measuring the systemic importance of interconnected banks
Tài liệu tham khảo
Acharya, 2009
Acharya, 2010, Systemic risk and deposit insurance premiums, Federal Reserve Bank of New York Economic Policy Review, 16, 89
Adrian, T., Brunnermeier, M., 2011. “CoVaR”. Federal Reserve Bank of New York Staff Reports. No. 348.
Allen, 2009, Networks in finance
Allen, 2000, Financial contagion, Journal of Political Economy, 108, 1, 10.1086/262109
Bank of England, 2013
Basel Committee on Banking Supervision, 2011. Global Systemically Important Banks: Assessment Methodology and the Additional Loss Absorbency Requirement. November.
Bech, 2010, The topology of the federal funds market, Physica A: Statistical Mechanics and its Applications, 389, 10.1016/j.physa.2010.05.058
Brownlees, 2010
Chiang, 2007, Premium setting and bank behavior in a voluntary deposit insurance scheme, Review of Quantitative Finance and Accounting, 29, 205, 10.1007/s11156-007-0029-8
Craig, B., von Peter, G., 2010. Interbank Tiering and Money Centre Banks. BIS Working Papers. No. 322.
David, 2011
Denault, 2001, Coherent allocation of risk capital, Journal of Risk, 4, 10.21314/JOR.2001.053
Drehmann, 2011, Systemic importance: some simple indicators, BIS Quarterly Review, March
Drehmann, M., Tarashev, N., 2011b. Measuring the Systemic Importance of Interconnected Banks. BIS Working Paper. No 342.
Eisenberg, 2001, Systemic risk in financial systems, Management Science, 47, 236, 10.1287/mnsc.47.2.236.9835
Elsinger, 2006, Risk assessment for banking systems, Management Science, 52, 1301, 10.1287/mnsc.1060.0531
European Central Bank, 2005. Financial Stability Review, June.
Gauthier, 2012, Macroprudential regulation and systemic capital requirements, Journal of Financial Intermediation, 21, 594, 10.1016/j.jfi.2012.01.005
Giesecke, 2011, Systemic risk: what defaults are telling us, Management Science, 57, 1387, 10.1287/mnsc.1110.1375
Gordy, 2003, A risk-factor model foundation for ratings based bank capital rules, Journal of Financial Intermediation, 12, 199, 10.1016/S1042-9573(03)00040-8
Huang, X., Zhou, H., Zhu, H., 2010. Assessing the Systemic Risk of a Heterogeneous Portfolio of Banks during the Recent Financial Crisis. BIS Working Papers. No. 296.
James, 1991, The losses realized in bank failures, The Journal of Finance, 46, 1223, 10.1111/j.1540-6261.1991.tb04616.x
Liu, 2010
Mas-Colell, 1995
Mistrulli, 2011, Assessing financial contagion in the interbank market: maximum entropy versus observed interbank lending patterns, Journal of Banking and Finance, 35, 1114, 10.1016/j.jbankfin.2010.09.018
Moulin, 2007, Fair allocation of production externalities: recent results, Revue d’économie politique, 117, 7, 10.3917/redp.171.0007
Navarro, 2007, Fair allocation in a network with externalities, Games and Economic Behaviour, 58, 354, 10.1016/j.geb.2006.03.010
Ni, 2007, Sharing a polluted river, Games and Economic Behaviour, 60, 176, 10.1016/j.geb.2006.10.001
Pennacchi, 2006, Deposit insurance, bank regulation, and financial system risk, Journal of Monetary Economics, 53, 1, 10.1016/j.jmoneco.2005.10.007
Shapley, 1953, A value for n-person games, vol. 28, 307
Squartini, 2011, Analytical maximum-likelihood method to detect patterns in real networks, New Journal of Physics, 13, 10.1088/1367-2630/13/8/083001
Staum, 2012, Systemic risk components and deposit insurance premia, Quantitative Finance, 12, 651, 10.1080/14697688.2012.664942
Suh, 2012, Measuring systemic risk: a factor-augmented correlated default approach, Journal of Financial Intermediation, 21, 341, 10.1016/j.jfi.2011.10.003
Tarashev, 2008, Specification and calibration errors in measures of portfolio credit risk: the case of the ASRF model, International Journal of Central Banking, June
Tarashev, N., Borio, C., Tsatsaronis, K., 2010. Attributing Systemic Risk to Individual Institutions. Methodology and Policy Implications. BIS Working Paper. No. 308.
Tasche, 2008, Capital allocation to business units and sub-portfolios: the Euler principle, 423
Upper, 2011, Simulation methods to assess the danger of contagion in interbank markets, Journal of Financial Stability, 7, 111, 10.1016/j.jfs.2010.12.001
van Lelyveld, 2006, Interbank contagion in the Dutch banking sector: a sensitivity analysis, International Journal of Central Banking, 31, 99