Measuring systemic risk: A factor-augmented correlated default approach
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DOI: 10.1016/j.jfi.2011.10.003
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- Varotto, Simone & Zhao, Lei, 2018.
"Systemic risk and bank size,"
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- 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.
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"Modeling Financial Sector Joint Tail Risk in the Euro Area,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(1), pages 171-191, January.
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- Schwaab, Bernd & Lucas, André & Zhang, Xin, 2015. "Modeling financial sector joint tail risk in the euro area," Working Paper Series 1837, European Central Bank.
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- Zhang, Xiaoming & Zhang, Xinsong & Lee, Chien-Chiang & Zhao, Yue, 2023. "Measurement and prediction of systemic risk in China’s banking industry," Research in International Business and Finance, Elsevier, vol. 64(C).
- Sangwon Suh & Inwon Jang & Misun Ahn, 2013. "A Simple Method For Measuring Systemic Risk Using Credit Default Swap Market Data," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 38(4), pages 75-100, December.
- Danielsson, Jon & James, Kevin R. & Valenzuela, Marcela & Zer, Ilknur, 2016.
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- Danielsson, Jon & James, Kevin R. & Valenzuela, Marcela & Zer, Ilknur, 2016. "Model risk of risk models," LSE Research Online Documents on Economics 66365, London School of Economics and Political Science, LSE Library.
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Keywords
Systemic risk; Financial stability; Correlated default approach; Systemic risk contribution;All these keywords.
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