-
1
-
-
84874691334
-
-
Measuring systemic risk, working paper, NYU
-
Acharyna, V., L. Pedersen, T. Philippon, and M. Richardson (2010) 'Measuring systemic risk,' working paper, NYU
-
(2010)
-
-
Acharyna, V.1
Pedersen, L.2
Philippon, T.3
Richardson, M.4
-
2
-
-
84874669382
-
-
'CoVaR, Report 348, Federal Reserve Bank of New York
-
Adrian, T., and M. Brunnermeier (2008) 'CoVaR,' Report 348, Federal Reserve Bank of New York
-
(2008)
-
-
Adrian, T.1
Brunnermeier, M.2
-
4
-
-
0030160093
-
Systemic risk in the netting system
-
Angelini, P., G. Maresca, and D. Russo (1996) 'Systemic risk in the netting system,' Journal of Banking and Finance 20, 853-68
-
(1996)
Journal of Banking and Finance
, vol.20
, pp. 853-868
-
-
Angelini, P.1
Maresca, G.2
Russo, D.3
-
5
-
-
84874692290
-
-
Bank for International Settlements, 'Principles for sound stress testing practices and supervision, consultative document, BIS
-
Bank for International Settlements (2009) 'Principles for sound stress testing practices and supervision,' consultative document, BIS
-
(2009)
-
-
-
6
-
-
84874745464
-
-
'Volatility, correlation, and tails for systemic risk measurement, discussion paper, Stern Business School
-
Brownlees, C., and R. Engle (2010) 'Volatility, correlation, and tails for systemic risk measurement,' discussion paper, Stern Business School
-
(2010)
-
-
Brownlees, C.1
Engle, R.2
-
7
-
-
84874751106
-
-
Some evidence on the consistency of banks' internal credit rating, Federal Reserve Board, April
-
Carey, M. (2001) 'Some evidence on the consistency of banks' internal credit rating,' Federal Reserve Board, April
-
(2001)
-
-
Carey, M.1
-
8
-
-
84874747557
-
-
CEBS (Committee of European Banking Supervisors), 'CEBS revised guidelines on inancial reporting, 15 December
-
CEBS (Committee of European Banking Supervisors) (2009a) 'CEBS revised guidelines on inancial reporting,' 15 December
-
(2009)
-
-
-
9
-
-
84874688654
-
-
CEBS (Committee of European Banking Supervisors), 'CEBS guidelines on the revised large exposures regime, 11 December
-
CEBS (Committee of European Banking Supervisors) (2009b) 'CEBS guidelines on the revised large exposures regime,' 11 December
-
(2009)
-
-
-
10
-
-
84874742951
-
-
'Network structure and systemic risk in banking systems, discussion paper, Columbia University
-
Cont, R., A. Moussa, and E. Santos (2010) 'Network structure and systemic risk in banking systems,' discussion paper, Columbia University
-
(2010)
-
-
Cont, R.1
Moussa, A.2
Santos, E.3
-
11
-
-
84874731217
-
-
'Survival of hedge funds: frailty vs. contagion, discussion paper, CREST
-
Darolles, S., P. Gagliardini, and C. Gouriéroux (2012) 'Survival of hedge funds: frailty vs. contagion,' discussion paper, CREST
-
(2012)
-
-
Darolles, S.1
Gagliardini, P.2
Gouriéroux, C.3
-
12
-
-
59649093356
-
Interbank exposures: an empirical examination of contagion risk in the Belgian banking system
-
Degryse, H., and G. Nguyen (2007) 'Interbank exposures: an empirical examination of contagion risk in the Belgian banking system,' International Journal of Central Banking 123-71
-
(2007)
International Journal of Central Banking
, pp. 123-171
-
-
Degryse, H.1
Nguyen, G.2
-
13
-
-
84874689001
-
-
Contagion in financial networks: a threat index, discussion paper, Paris School of Economics
-
Demange, G. (2011) 'Contagion in financial networks: a threat index,' discussion paper, Paris School of Economics
-
(2011)
-
-
Demange, G.1
-
14
-
-
84874729747
-
-
'Shock on variable or shock on distribution with application to stress tests, discussion paper, CREST
-
Dubecq, S., and C. Gouriéroux (2011) 'Shock on variable or shock on distribution with application to stress tests,' discussion paper, CREST
-
(2011)
-
-
Dubecq, S.1
Gouriéroux, C.2
-
15
-
-
0035261932
-
Systemic risk in financial systems
-
Eisenberg, L., and T. Noe (2001) 'Systemic risk in financial systems,' Management Science 47, 236-49
-
(2001)
Management Science
, vol.47
, pp. 236-249
-
-
Eisenberg, L.1
Noe, T.2
-
16
-
-
84874726762
-
-
'Risk assessment for banking systems, discussion paper, University of Vienna
-
Elsinger, H., A. Lehar, and M. Summer (2004) 'Risk assessment for banking systems,' discussion paper, University of Vienna
-
(2004)
-
-
Elsinger, H.1
Lehar, A.2
Summer, M.3
-
17
-
-
33645473320
-
Using market information for banking system risk assessment
-
Elsinger, H., A. Lehar, and M. Summer (2006a) 'Using market information for banking system risk assessment,' International Journal of Central Banking 2, 137-65
-
(2006)
International Journal of Central Banking
, vol.2
, pp. 137-165
-
-
Elsinger, H.1
Lehar, A.2
Summer, M.3
-
18
-
-
33645466393
-
Systematically important banks: an analysis for the European banking system
-
Elsinger, H., A. Lehar, and M. Summer (2006b) 'Systematically important banks: an analysis for the European banking system,' International Economics and Economic Policy 3, 73-89
-
(2006)
International Economics and Economic Policy
, vol.3
, pp. 73-89
-
-
Elsinger, H.1
Lehar, A.2
Summer, M.3
-
19
-
-
0037332184
-
Interbank exposures: quantifying the risk of contagion
-
Furfine, C. (2003) 'Interbank exposures: quantifying the risk of contagion,' Journal of Money, Credit and Banking 35, 111-28
-
(2003)
Journal of Money, Credit and Banking
, vol.35
, pp. 111-128
-
-
Furfine, C.1
-
20
-
-
84874699953
-
-
Financial Service authority, 'Stress and scenario testing: feedback on CP08/24 and final rules, FSA Policy Statement, 09/20
-
Financial Service authority (2009) 'Stress and scenario testing: feedback on CP08/24 and final rules,' FSA Policy Statement, 09/20
-
(2009)
-
-
-
21
-
-
84874736602
-
-
'Correlated risks vs. contagion in stochastic transition models, discussion paper, CREST
-
Gagliardini, P., and C. Gouriéroux (2012) 'Correlated risks vs. contagion in stochastic transition models,' discussion paper, CREST
-
(2012)
-
-
Gagliardini, P.1
Gouriéroux, C.2
-
22
-
-
84874690717
-
-
'Allocating systemic and unsystemic risks in a regulatory perspective, discussion paper, CREST
-
Gouriéroux, C., and A. Monfort (2012) 'Allocating systemic and unsystemic risks in a regulatory perspective,' discussion paper, CREST
-
(2012)
-
-
Gouriéroux, C.1
Monfort, A.2
-
23
-
-
84874746676
-
-
'Liquidation equilibrium with seniority, discussion paper, CREST
-
Gouriéroux, C., J.-C. Héam, and A. Monfort (2012) 'Liquidation equilibrium with seniority,' discussion paper, CREST
-
(2012)
-
-
Gouriéroux, C.1
Héam, J.-C.2
Monfort, A.3
-
24
-
-
0001509046
-
Coherency conditions in simultaneous linear equation models with endogenous switching regimes
-
Gouriéroux, C., J.J. Laffont, and A. Monfort (1980) 'Coherency conditions in simultaneous linear equation models with endogenous switching regimes,' Econometrica 48, 75-96
-
(1980)
Econometrica
, vol.48
, pp. 75-96
-
-
Gouriéroux, C.1
Laffont, J.J.2
Monfort, A.3
-
25
-
-
84874668208
-
-
Testimony by the chairman of the Federal Reserve Board before the Committee on Banking and Financial Services of the US House of Representatives on 1 October 1998
-
Greenspan, A. (1998) 'Testimony by the chairman of the Federal Reserve Board before the Committee on Banking and Financial Services of the US House of Representatives on 1 October 1998, '
-
(1998)
-
-
Greenspan, A.1
-
26
-
-
84874737388
-
-
'Simulations of failures in a payment system, discussion paper, Federal Reserve Bank of Philadelphia
-
McAndrews, J., and G. Wasilyev (1995) 'Simulations of failures in a payment system,' discussion paper, Federal Reserve Bank of Philadelphia
-
(1995)
-
-
McAndrews, J.1
Wasilyev, G.2
-
27
-
-
0000652195
-
Interbank lending and systemic risk: an empirical analysis for Switzerland
-
McDonough, W. (1998) 'Interbank lending and systemic risk: an empirical analysis for Switzerland,' Journal of Money, Credit and Banking 28, 733-62
-
(1998)
Journal of Money, Credit and Banking
, vol.28
, pp. 733-762
-
-
McDonough, W.1
-
28
-
-
0000808665
-
On the pricing of corporate debt: the risk structure of interest rates
-
Merton, R. (1974) 'On the pricing of corporate debt: the risk structure of interest rates,' Journal of Finance 29, 449-70
-
(1974)
Journal of Finance
, vol.29
, pp. 449-470
-
-
Merton, R.1
-
29
-
-
84874713498
-
-
Assessing financial contagion in the interbank market: maximum entropy versus observed interbank lending patterns, discussion paper, Bank of Italy
-
Mistrulli, P. (2007) 'Assessing financial contagion in the interbank market: maximum entropy versus observed interbank lending patterns,' discussion paper, Bank of Italy
-
(2007)
-
-
Mistrulli, P.1
-
30
-
-
84874703917
-
-
Contagion and systemic risk in financial networks, PhD dissertation, Columbia University
-
Moussa, A. (2011) 'Contagion and systemic risk in financial networks,' PhD dissertation, Columbia University
-
(2011)
-
-
Moussa, A.1
-
31
-
-
34247624619
-
Network models and financial stability
-
Nier, E., J. Yang, T. Yorulmazer, and A. Alentorn (2007) 'Network models and financial stability,' Journal of Economic Dynamics and Controls 31, 2033-60
-
(2007)
Journal of Economic Dynamics and Controls
, vol.31
, pp. 2033-2060
-
-
Nier, E.1
Yang, J.2
Yorulmazer, T.3
Alentorn, A.4
-
32
-
-
84874750507
-
-
'Estimating credit contagion in a standard factor model, Risk, August
-
Rosch, D., and B. Winterfeld (2008) 'Estimating credit contagion in a standard factor model,' Risk, August, 78-82
-
(2008)
, pp. 78-82
-
-
Rosch, D.1
Winterfeld, B.2
-
33
-
-
84874753618
-
-
Financial interlinkages and risk of contagion in the Finnish interbank markets, discussion paper, Bank of Finland
-
Toivanen, M. (2009) 'Financial interlinkages and risk of contagion in the Finnish interbank markets,' discussion paper, Bank of Finland
-
(2009)
-
-
Toivanen, M.1
-
34
-
-
79956260654
-
Simulation methods to assess the danger of contagion in interbank markets
-
forthcoming
-
Upper, C. (2011) 'Simulation methods to assess the danger of contagion in interbank markets,' Journal of Financial Stability, forthcoming
-
(2011)
Journal of Financial Stability
-
-
Upper, C.1
-
35
-
-
3042537428
-
Estimating bilateral exposures in the German interbank market: is there a danger of contagion?
-
Upper, C., and A. Worms (2004) 'Estimating bilateral exposures in the German interbank market: is there a danger of contagion? European Economic Review 48, 827-49
-
(2004)
European Economic Review
, vol.48
, pp. 827-849
-
-
Upper, C.1
Worms, A.2
-
36
-
-
84874737880
-
-
Probability of loss on loan portfolio, KMV Corporation
-
Vasicek, O. (1987) 'Probability of loss on loan portfolio,' KMV Corporation
-
(1987)
-
-
Vasicek, O.1
-
37
-
-
84941128039
-
Banks' paths vary in Greek write-downs
-
WSJ, 14 October
-
WSJ (2011a) 'Banks' paths vary in Greek write-downs,' Wall Street Journal, 14 October
-
(2011)
Wall Street Journal
-
-
-
38
-
-
84874716381
-
-
WSJ, 'SEC nearing decision on accounting standards, Wall Street Journal, 18 November
-
WSJ (2011b) 'SEC nearing decision on accounting standards,' Wall Street Journal, 18 November
-
(2011)
-
-
-
39
-
-
84874697450
-
-
Financial interlinkages in the United Kingdom's interbank market and the risk of contagion, Discussion Paper 230, Bank of England
-
Wells, S. (2004) 'Financial interlinkages in the United Kingdom's interbank market and the risk of contagion,' Discussion Paper 230, Bank of England
-
(2004)
-
-
Wells, S.1
|