What is the systemic risk exposure of financial institutions?
Tài liệu tham khảo
Acharya, 2009, A theory of systemic risk and design of prudential bank regulation, J. Financ. Stabil., 5, 224, 10.1016/j.jfs.2009.02.001
Acharya, 2016, Measuring systemic risk, Rev. Financ. Stud.
Acharya, 2013, Securitization without risk transfer, J. Financ. Econ., 107, 515, 10.1016/j.jfineco.2012.09.004
Adams, 2014, Modeling spillover effects among financial institutions: a state-dependent sensitivity value-at-risk (SDSVaR) approach, J. Financ. Quant. Anal., 49, 575, 10.1017/S0022109014000325
Adrian, 2016, CoVaR, Am. Econ. Rev., 10.1257/aer.20120555
Allen, 2012, Does systemic risk in the financial sector predict future economic downturns?, Rev. Financ. Stud., 25, 3000, 10.1093/rfs/hhs094
Billio, 2012, Econometric measures of connectedness and systemic risk in the finance and insurance sectors, J. Financ. Econ., 104, 535, 10.1016/j.jfineco.2011.12.010
Bodie, 2007
Chan-Lau, 2010, Regulatory capital charges for too-connected-to-fail institutions: a practical proposal, Financ. Mark. Inst. Instrum., 19, 355, 10.1111/j.1468-0416.2010.00161.x
Chiodo, 2002, 7
De Bandt, 2000
Fahlenbrach, 2012, This time is the same: using bank performance in 1998 to explain bank performance during the recent financial crisis, J. Finance, 67, 2139, 10.1111/j.1540-6261.2012.01783.x
Giglio, 2014
Girardi, 2013, Systemic risk measurement: multivariate GARCH estimation of CoVaR, J. Bank. Finance, 37, 3169, 10.1016/j.jbankfin.2013.02.027
Granger, 1969, Investigating causal relations by econometric models and cross-spectral methods, Econometrica, 37, 424, 10.2307/1912791
Gray, 2011
Hull, 2009
Koenker, 1978, Regression quantiles, Econometrica, 46, 33, 10.2307/1913643
Kritzman, 2010
Lehar, 2005, Measuring systemic risk: a risk management approach, J. Bank. Finance, 29, 2577, 10.1016/j.jbankfin.2004.09.007
Lo Duca, 2013, Assessing systemic risks and predicting systemic events, J. Bank. Finance, 37, 2183, 10.1016/j.jbankfin.2012.06.010
Paradis, 2008
Patro, 2013, A simple indicator of systemic risk, J. Financ. Stabil., 9, 105, 10.1016/j.jfs.2012.03.002
Rodríguez-Moreno, 2013, Systemic risk measures: the simpler the better?, J. Bank. Finance, 37, 1817, 10.1016/j.jbankfin.2012.07.010
Tarashev, 2009, The systemic importance of financial institutions, BIS Q. Rev., 75