Multivariate dependence of implied volatilities from equity options as measure of systemic risk
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DOI: 10.1016/j.irfa.2013.01.005
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Cited by:
- International Monetary Fund, 2010. "United States: Publication of Financial Sector Assessment Program Documentation: Technical Note on Stress Testing," IMF Staff Country Reports 2010/244, International Monetary Fund.
- Renata Karkowska, 2013. "Instability In The Cee Banking System. Evidence From The Recent Financial Crisis," CES Working Papers, Centre for European Studies, Alexandru Ioan Cuza University, vol. 5(4), pages 535-547, December.
- Jobst, Andreas A., 2014.
"Measuring systemic risk-adjusted liquidity (SRL)—A model approach,"
Journal of Banking & Finance, Elsevier, vol. 45(C), pages 270-287.
- Andreas Jobst, 2012. "Measuring Systemic Risk-Adjusted Liquidity (SRL): A Model Approach," IMF Working Papers 2012/209, International Monetary Fund.
- Andreas Jobst & Mr. Dale F Gray, 2013. "Systemic Contingent Claims Analysis: Estimating Market-Implied Systemic Risk," IMF Working Papers 2013/054, International Monetary Fund.
- Varotto, Simone & Zhao, Lei, 2018.
"Systemic risk and bank size,"
Journal of International Money and Finance, Elsevier, vol. 82(C), pages 45-70.
- Simone Varotto & Lei Zhao, 2014. "Systemic Risk and Bank Size," ICMA Centre Discussion Papers in Finance icma-dp2014-17, Henley Business School, University of Reading.
- International Monetary Fund, 2011. "United Kingdom: Stress Testing the Banking Sector Technical Note," IMF Staff Country Reports 2011/227, International Monetary Fund.
- International Monetary Fund, 2016. "Slovak Republic: Selected Issues," IMF Staff Country Reports 2016/014, International Monetary Fund.
- International Monetary Fund, 2011. "Sweden: Financial Sector Assessment Program Update: Technical Note on Contingent Claims Analysis Approach to Measure Risk and Stress Test the Swedish Banking Sector," IMF Staff Country Reports 2011/286, International Monetary Fund.
- Yali Cao & Yue Shao & Hongxia Zhang, 2022. "Study on early warning of E-commerce enterprise financial risk based on deep learning algorithm," Electronic Commerce Research, Springer, vol. 22(1), pages 21-36, March.
- Karkowska, Renata, 2014. "Is the Central and Eastern European banking systems stable? Evidence from the recent financial crisis," MPRA Paper 58803, University Library of Munich, Germany.
- Silva, Walmir & Kimura, Herbert & Sobreiro, Vinicius Amorim, 2017. "An analysis of the literature on systemic financial risk: A survey," Journal of Financial Stability, Elsevier, vol. 28(C), pages 91-114.
- International Monetary Fund, 2011. "Germany: Technical Note on Stress Testing," IMF Staff Country Reports 2011/371, International Monetary Fund.
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More about this item
Keywords
Early warning; Dependence; Correlation; Co-movement; Systemic risk; Extreme value theory; Generalized extreme value; Entropy; Financial contagion; Macroprudential surveillance;All these keywords.
JEL classification:
- C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G01 - Financial Economics - - General - - - Financial Crises
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
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