1. A Weissman-type estimator of the conditional marginal expected shortfall. (2023). Qin, Jing ; le Ho, Nguyen Khanh ; Guillou, Armelle ; Goegebeur, Yuri.
   In: Econometrics and Statistics.
   RePEc:eee:ecosta:v:27:y:2023:i:c:p:173-196.

   Full description at Econpapers || Download paper

2. On heavy-tailed risks under Gaussian copula: the effects of marginal transformation. (2023). Fasen-Hartmann, Vicky ; Das, Bikramjit.
   In: Papers.
   RePEc:arx:papers:2304.05004.

   Full description at Econpapers || Download paper

3. Risk measurement of joint risk of portfolios: a liquidity shortfall aspect. (2022). Wei, Linxiao ; Hu, Yijun ; Gong, Shuo.
   In: Papers.
   RePEc:arx:papers:2212.04848.

   Full description at Econpapers || Download paper

4. Semi-parametric estimation of multivariate extreme expectiles. (2021). Mailhot, Melina ; di Bernardino, Elena ; Beck, Nicholas.
   In: Journal of Multivariate Analysis.
   RePEc:eee:jmvana:v:184:y:2021:i:c:s0047259x21000361.

   Full description at Econpapers || Download paper

5. A New Approach to Risk Attribution and Its Application in Credit Risk Analysis. (2020). Frei, Christoph.
   In: Risks.
   RePEc:gam:jrisks:v:8:y:2020:i:2:p:65-:d:371982.

   Full description at Econpapers || Download paper

6. Multivariate risk measures based on conditional expectation and systemic risk for Exponential Dispersion Models. (2020). Yao, Jing ; Shushi, Tomer.
   In: Insurance: Mathematics and Economics.
   RePEc:eee:insuma:v:93:y:2020:i:c:p:178-186.

   Full description at Econpapers || Download paper

7. Range Value-at-Risk: Multivariate and Extreme Values. (2020). Mailhot, Melina ; Cao, LU ; Bairakdar, Roba.
   In: Papers.
   RePEc:arx:papers:2005.12473.

   Full description at Econpapers || Download paper

8. Scoring Functions for Multivariate Distributions and Level Sets. (2020). Li, Siran ; Ben Taieb, Souhaib ; Taylor, James W ; Meng, Xiaochun.
   In: Papers.
   RePEc:arx:papers:2002.09578.

   Full description at Econpapers || Download paper

9. From Halfspace M-Depth to Multiple-output Expectile Regression. (2019). Paindaveine, Davy ; Daouia, Abdelaati.
   In: TSE Working Papers.
   RePEc:tse:wpaper:123159.

   Full description at Econpapers || Download paper

10. A novel multivariate risk measure: the Kendall VaR. (2018). Hassani, Bertrand ; Guegan, Dominique ; Garcin, Matthieu.
    In: Documents de travail du Centre d'Economie de la Sorbonne.
    RePEc:mse:cesdoc:17008r.

    Full description at Econpapers || Download paper

11. Integrated Portfolio Risk Measure: Estimation and Asymptotics of Multivariate Geometric Quantiles. (2018). Sun, Edward ; Yu, Min-Teh ; Wang, Yu-Jen.
    In: Computational Economics.
    RePEc:kap:compec:v:52:y:2018:i:2:d:10.1007_s10614-017-9708-2.

    Full description at Econpapers || Download paper

12. A novel multivariate risk measure: the Kendall VaR. (2018). Hassani, Bertrand ; Guegan, Dominique ; Garcin, Matthieu.
    In: Post-Print.
    RePEc:hal:journl:halshs-01467857.

    Full description at Econpapers || Download paper

13. A novel multivariate risk measure: the Kendall VaR. (2018). Hassani, Bertrand ; Guegan, Dominique ; Garcin, Matthieu.
    In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
    RePEc:hal:cesptp:halshs-01467857.

    Full description at Econpapers || Download paper

14. A Discussion on Recent Risk Measures with Application to Credit Risk: Calculating Risk Contributions and Identifying Risk Concentrations. (2018). Pfeuffer, Marius ; Moser, Thorsten ; Fischer, Matthias.
    In: Risks.
    RePEc:gam:jrisks:v:6:y:2018:i:4:p:142-:d:188842.

    Full description at Econpapers || Download paper

15. Cone distribution functions and quantiles for multivariate random variables. (2018). Hamel, Andreas H ; Kostner, Daniel.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:167:y:2018:i:c:p:97-113.

    Full description at Econpapers || Download paper

16. On the length of copula level curves. (2018). Coblenz, Maximilian ; Trutschnig, Wolfgang ; Schreyer, Manuela ; Grothe, Oliver .
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:167:y:2018:i:c:p:347-365.

    Full description at Econpapers || Download paper

17. Multivariate Geometric Expectiles. (2018). Mailhot, Melina ; Hofert, Marius ; Herrmann, Klaus .
    In: Papers.
    RePEc:arx:papers:1704.01503.

    Full description at Econpapers || Download paper

18. Impact of Dependence on Some Multivariate Risk Indicators. (2017). Rulliere, Didier ; Said, Khalil ; Maume-Deschamps, Veronique.
    In: Methodology and Computing in Applied Probability.
    RePEc:spr:metcap:v:19:y:2017:i:2:d:10.1007_s11009-016-9489-4.

    Full description at Econpapers || Download paper

19. A novel multivariate risk measure: the Kendall VaR. (2017). Guegan, Dominique ; Garcin, Matthieu ; Hassani, Bertrand.
    In: Documents de travail du Centre d'Economie de la Sorbonne.
    RePEc:mse:cesdoc:17008.

    Full description at Econpapers || Download paper

20. MULTIVARIATE EXTENSIONS OF EXPECTILES RISK MEASURES. (2017). Maume-Deschamps, Veronique ; Said, Khalil ; Rulliere, Didier .
    In: Working Papers.
    RePEc:hal:wpaper:hal-01367277.

    Full description at Econpapers || Download paper

21. MULTIVARIATE EXTENSIONS OF EXPECTILES RISK MEASURES. (2017). Rulliere, Didier ; Said, Khalil ; Maume-Deschamps, Veronique.
    In: Post-Print.
    RePEc:hal:journl:hal-01367277.

    Full description at Econpapers || Download paper

22. A note on upper-patched generators for Archimedean copulas. (2017). Rulliere, Didier ; di Bernardino, Elena.
    In: Post-Print.
    RePEc:hal:journl:hal-01347869.

    Full description at Econpapers || Download paper

23. Impact of dependence on some multivariate risk indicators. (2017). Rulliere, Didier ; Said, Khalil ; Maume-Deschamps, Veronique.
    In: Post-Print.
    RePEc:hal:journl:hal-01171395.

    Full description at Econpapers || Download paper

24. Vector-Valued Multivariate Conditional Value-at-Risk. (2017). Kucukyavuz, Simge ; Merakli, Merve .
    In: Papers.
    RePEc:arx:papers:1708.01324.

    Full description at Econpapers || Download paper

25. Vector-Valued Tail Value-at-Risk and Capital Allocation. (2016). Cossette, Helene ; Mesfioui, Mhamed ; Marceau, Etienne ; Mailhot, Melina.
    In: Methodology and Computing in Applied Probability.
    RePEc:spr:metcap:v:18:y:2016:i:3:d:10.1007_s11009-015-9444-9.

    Full description at Econpapers || Download paper

26. A multivariate extension of the increasing convex order to compare risks. (2016). Sordo, Miguel A.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:68:y:2016:i:c:p:224-230.

    Full description at Econpapers || Download paper

27. Directional multivariate extremes in environmental phenomena. (2016). Lillo, Rosa E ; Torres, Raul ; Laniado, Henry ; de Michele, Carlo.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:23419.

    Full description at Econpapers || Download paper

28. Shortfall Deviation Risk: An alternative to risk measurement. (2016). Righi, Marcelo Brutti ; Ceretta, Paulo Sergio.
    In: Papers.
    RePEc:arx:papers:1501.02007.

    Full description at Econpapers || Download paper

29. Estimating covariate functions associated to multivariate risks: a level set approach. (2015). Bernardino, Elena ; Laloe, Thomas ; Servien, Remi.
    In: Metrika: International Journal for Theoretical and Applied Statistics.
    RePEc:spr:metrik:v:78:y:2015:i:5:p:497-526.

    Full description at Econpapers || Download paper

30. Impact of dependence on some multivariate risk indicators. (2015). Maume-Deschamps, Veronique ; Said, Khalil.
    In: Working Papers.
    RePEc:hal:wpaper:hal-01171395.

    Full description at Econpapers || Download paper

31. A directional multivariate value at risk. (2015). Torres, Raul ; Laniado, Henry ; Lillo, Rosa E.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:65:y:2015:i:c:p:111-123.

    Full description at Econpapers || Download paper

32. On multivariate extensions of the conditional Value-at-Risk measure. (2015). Di Bernardino, E. ; Rodriguez-Griolo, M. R. ; Fernandez-Ponce, J. M. ; Palacios-Rodriguez, F..
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:61:y:2015:i:c:p:1-16.

    Full description at Econpapers || Download paper

33. Impact of dependence on some multivariate risk indicators. (2015). Rulliere, Didier ; Maume-Deschamps, V'eronique ; Said, Khalil.
    In: Papers.
    RePEc:arx:papers:1507.01175.

    Full description at Econpapers || Download paper

34. A Directional Multivariate Value at Risk. (2015). Laniado, Henry ; Lillo, Rosa E. ; Torres, Ra'ul .
    In: Papers.
    RePEc:arx:papers:1502.00908.

    Full description at Econpapers || Download paper

35. Geometrical framework for robust portfolio optimization. (2014). Bazovkin, Pavel .
    In: Discussion Papers in Econometrics and Statistics.
    RePEc:zbw:ucdpse:0114.

    Full description at Econpapers || Download paper

36. Estimation of multivariate conditional-tail-expectation using Kendalls process. (2014). di Bernardino, Elena ; Prieur, Clmentine .
    In: Journal of Nonparametric Statistics.
    RePEc:taf:gnstxx:v:26:y:2014:i:2:p:241-267.

    Full description at Econpapers || Download paper

37. Multivariate reinsurance designs for minimizing an insurer’s capital requirement. (2014). Chi, Yichun ; Weng, Chengguo ; Zhu, Yunzhou .
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:59:y:2014:i:c:p:144-155.

    Full description at Econpapers || Download paper

38. On multivariate extensions of Conditional-Tail-Expectation. (2014). Cousin, Areski ; di Bernardino, Elena.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:55:y:2014:i:c:p:272-282.

    Full description at Econpapers || Download paper

39. On Multivariate Extensions of Conditional-Tail-Expectation. (2013). Cousin, Areski ; Di Bernardinoy, Elena .
    In: Working Papers.
    RePEc:hal:wpaper:hal-00877386.

    Full description at Econpapers || Download paper

40. Distortions of multivariate distribution functions and associated level curves: applications in multivariate risk theory. (2013). .
    In: Working Papers.
    RePEc:hal:wpaper:hal-00750873.

    Full description at Econpapers || Download paper

41. Distortions of multivariate distribution functions and associated level curves: applications in multivariate risk theory. (2013). Rulliere, Didier ; di Bernardino, Elena.
    In: Post-Print.
    RePEc:hal:journl:hal-00750873.

    Full description at Econpapers || Download paper

42. Distortions of multivariate risk measures: a level-sets based approach. (2012). Rulliere, Didier.
    In: Working Papers.
    RePEc:hal:wpaper:hal-00756387.

    Full description at Econpapers || Download paper

1. A. Chakak and M. Ezzerg. Bivariate contours of copula. Comm. Statist. Simulation Comput., 29(1):175â185, 2000.
   Paper not yet in RePEc: Add citation now
   
2. A. Muller and D. Stoyan. Comparison methodes for stochastic models and risks. Wiley, 2001.
   Paper not yet in RePEc: Add citation now
   
3. A. Muller. Stop-loss order for portfolios of dependent risks. Insurance Math. Econom., 21(3):219â223, 1997.
   Paper not yet in RePEc: Add citation now
   

4. C. Gauthier, A. Lehar, and M. Souissi. Macroprudential regulation and systemic capital requirements. Working Papers 10-4, Bank of Canada, 2010.

5. C. Genest and J.-C. Boies. Detecting dependence with kendall plots. The American Statistician, 57:275â284, 2003.

6. C. Genest and L.-P. Rivest. On the multivariate probability integral transformation. Statist. Probab. Lett., 53(4):391â399, 2001.

7. C. Genest, J.-F. Quessy, and B. Remillard. Goodness-of-ït procedures for copula models based on the probability integral transformation. Scandinavian Journal of Statistics, 33:337â366, 2006.

8. C. Rossi. Sulle curve di livello di una superïcie di ripartizione in due variabili. Giornale dellâIstituto Italiano degli Attuari, 36:87â108, 1973.
   Paper not yet in RePEc: Add citation now
   

9. D. Tasche. Capital allocation to business units and sub-portfolios: the Euler Principle. Quantitative ïnance papers, arXiv.org, 2008.

10. E. Jouini, M. Meddeb, and N. Touzi. Vector-valued coherent risk measures. Finance Stoch., 8(4):531â552, 2004.

11. E. L. Lehmann. Some concepts of dependence. Ann. Math. Statist., 37:1137â1153, 1966.
    Paper not yet in RePEc: Add citation now
    

12. F. Belzunce, A. CastaËno, A. Olvera-Cervantes, and A. Suarez-Llorens. Quantile curves and dependence structure for bivariate distributions. Computational Statistics & Data Analysis, 51(10):5112â5129, 2007.

13. G. Nappo and F. Spizzichino. Kendall distributions and level sets in bivariate exchangeable survival models. Information Sciences, 179:2878â2890, August 2009.
    Paper not yet in RePEc: Add citation now
    

14. G. Wei and T. Hu. Supermodular dependence ordering on a class of multivariate copulas. Statist. Probab. Lett., 57(4):375â385, 2002.

15. H. Buhlmann, B. Gagliardi, H. Gerber, and E. Straub. Some inequalities for stop-loss premiums. Astin Bull., 9(2):75â83, 1977.

16. H. Joe. Multivariate models and dependence concepts, volume 73 of Monographs on Statistics and Applied Probability. Chapman & Hall, London, 1997.
    Paper not yet in RePEc: Add citation now
    

17. I. Bentahar. Tail conditional expectation for vector-valued risks. SFB 649 Discussion Papers SFB649DP2006-029, Humboldt University, Collaborative Research Center 649, 2006.

18. J. Cai and H. Li. Conditional tail expectations for multivariate phase-type distributions. Journal of Applied Probability, 42(3):810â825, 2005.
    Paper not yet in RePEc: Add citation now
    

19. J.-C. Masse and R. Theodorescu. Halfplane trimming for bivariate distributions. J. Multivariate Anal., 48(2):188â202, 1994.

20. J.-P. Laurent. Sensitivity analysis of risk measures for discrete distributions. Working paper, 2003.
    Paper not yet in RePEc: Add citation now
    
21. L. Imlahi, M. Ezzerg, and A. Chakak. Estimacion de la curva mediana de una copula C(x1, . . . , xn). Rev. R. Acad. Cien. Exact. Fis. Nat, 93(2):241â250, 1999.
    Paper not yet in RePEc: Add citation now
    
22. L. Tibiletti. Gli insiemi di livello delle funzioni di ripartizione n-dimensionali: unâapplicazione statistica (Level sets of n-dimensional distribution functions: a statistic application). Quaderni dellâIstituto di Matematica Finanziaria dellâuniversit`a di Torino: terza serie, 56:1â11, 1990.
    Paper not yet in RePEc: Add citation now
    
23. L. Tibiletti. Quasi-concavity property of multivariate distribution functions. Ratio Mathematica, 9:27â36, 1995.
    Paper not yet in RePEc: Add citation now
    
24. L. Tibiletti. Sulla quasi concavita delle funzioni di ripartizione n-dimensionali - on quasiconcavity of n-dimensional distribution functions. In Atti del XV convegno A.M.A.S.E.S., pages 503â515, 1991.
    Paper not yet in RePEc: Add citation now
    

25. M. Barg`es, H. Cossette, and E. Marceau. TVaR-based capital allocation with copulas. Insurance Math. Econom., 45(3):348â361, 2009.

26. M. Chaouch, A. Gannoun, and J. Saracco. Estimation de quantiles geometriques conditionnels et non conditionnels. J. SFdS, 150(2):1â27, 2009.
    Paper not yet in RePEc: Add citation now
    
27. M. Denuit and A. Charpentier. Mathematiques de lâassurance non-vie. Tome 1: Principes fondamentaux de theorie du risque. Economica, 2004.
    Paper not yet in RePEc: Add citation now
    
28. M. Denuit, J. Dhaene, M. Goovaerts, and R. Kaas. Actuarial Theory for Dependent Risks. Wiley, 2005.
    Paper not yet in RePEc: Add citation now
    
29. M. Sklar. Fonctions de repartition `a n dimensions et leurs marges. Publ. Inst. Statist. Univ. Paris, 8:229â231, 1959.
    Paper not yet in RePEc: Add citation now
    

30. P. Artzner, F. Delbaen, J. M. Eber, and D. Heath. Coherent measures of risk. Math. Finance, 9(3):203â228, 1999.

31. P. Barbe, C. Genest, K. Ghoudi, and B. Remillard. On Kendallâs process. J. Multivariate Anal., 58(2):197â229, 1996.

32. P. Capera`a, A.-L. Foug`eres, and C. Genest. A stochastic ordering based on a decomposition of Kendallâs tau. In Distributions with given marginals and moment problems (Prague, 1996), pages 81â86. Kluwer Acad. Publ., Dordrecht, 1997.
    Paper not yet in RePEc: Add citation now
    

33. P. Embrechts and G. Puccetti. Bounds for functions of multivariate risks. Journal of Multivariate Analysis, 97(2):526â547, 2006.

34. R. B. Nelsen, J. J. Quesada-Molinab, J. A. RodrÄguez-Lallenac, and M. Ubeda-Floresc. Kendall distribution functions. Statistics and Probability Letters, 65:263â268, 2003.
    Paper not yet in RePEc: Add citation now
    
35. R. B. Nelsen. An introduction to copulas, volume 139 of Lecture Notes in Statistics. Springer-Verlag, New York, 1999.
    Paper not yet in RePEc: Add citation now
    

36. R. Serïing. Quantile functions for multivariate analysis: approaches and applications. Statist. Neerlandica, 56(2):214â232, 2002. Special issue: Frontier research in theoretical statistics, 2000 (Eindhoven).

37. S. Dedu and R. Ciumara. Restricted optimal retention in stop-loss reinsurance under VaR and CTE risk measures. Proc. Rom. Acad. Ser. A Math. Phys. Tech. Sci. Inf. Sci., 11(3):213â217, 2010.
    Paper not yet in RePEc: Add citation now
    
38. V. I. Koltchinskii. M-estimation, convexity and quantiles. Ann. Statist., 25(2):435â477, 1997.
    Paper not yet in RePEc: Add citation now
    
39. W. Feller. An introduction to probability theory and its applications. Vol. II. John Wiley & Sons Inc., New York, 1966.
    Paper not yet in RePEc: Add citation now
    

40. Z. M. Landsman and E. A. Valdez. Tail conditional expectations for elliptical distributions. N. Am. Actuar. J., 7(4):55â71, 2003.

1. Macroprudential regulation for a dynamic Chinese banking system with a scale-free network. (2020). Fan, Hong ; Gao, Qianqian.
   In: Journal of Economic Interaction and Coordination.
   RePEc:spr:jeicoo:v:15:y:2020:i:3:d:10.1007_s11403-019-00246-5.

   Full description at Econpapers || Download paper

2. Financial innovation, economic growth, and the consequences of macroprudential policies. (2019). Plouffe, Michael ; Bernier, Maxence.
   In: Research in Economics.
   RePEc:eee:reecon:v:73:y:2019:i:2:p:162-173.

   Full description at Econpapers || Download paper

3. A multi-agent methodology to assess the effectiveness of alternative systemic risk adjusted capital requirements. (2019). Gurgone, A ; Iori, G.
   In: Working Papers.
   RePEc:cty:dpaper:19/05.

   Full description at Econpapers || Download paper

4. Modeling and Estimating the Risk of the Banking System in Form of a Network Model Using CoVaR (in Persian). (2018). Ostadhashemi, Ali ; ,, ; Sadeghi, Seyed Jalal.
   In: Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی).
   RePEc:mbr:jmbres:v:11:y:2018:i:36:p:183-210.

   Full description at Econpapers || Download paper

5. Effect of banking and macroeconomic variables on systemic risk: An application of ΔCOVAR for an emerging economy. (2018). de Mendonça, Helder ; da Silva, Rafael Bernardo ; de Mendona, Helder Ferreira ; deMendona, Helder Ferreira .
   In: The North American Journal of Economics and Finance.
   RePEc:eee:ecofin:v:43:y:2018:i:c:p:141-157.

   Full description at Econpapers || Download paper

6. Multivariate Geometric Expectiles. (2018). Mailhot, Melina ; Hofert, Marius ; Herrmann, Klaus .
   In: Papers.
   RePEc:arx:papers:1704.01503.

   Full description at Econpapers || Download paper

7. Simulating fire-sales in a banking and shadow banking system. (2017). Żochowski, Dawid ; Halaj, Grzegorz ; Haaj, Grzegorz ; Calimani, Susanna.
   In: ESRB Working Paper Series.
   RePEc:srk:srkwps:201746.

   Full description at Econpapers || Download paper

8. Extreme Value Theory with an Application to Bank Failures through Contagion. (2017). Nikzad, Rashid ; McDonald, David.
   In: Journal of Applied Finance & Banking.
   RePEc:spt:apfiba:v:7:y:2017:i:3:f:7_3_6.

   Full description at Econpapers || Download paper

9. Calibrating limits for large interbank exposures from a system-wide perspective. (2016). Solorzano-Margain, Juan Pablo ; Batiz-Zuk, Enrique ; Lopez-Gallo, Fabrizio ; Martinez-Jaramillo, Serafin .
   In: Journal of Financial Stability.
   RePEc:eee:finsta:v:27:y:2016:i:c:p:198-216.

   Full description at Econpapers || Download paper

10. The credit quality channel: Modeling contagion in the interbank market. (2016). Fink, Kilian ; Wong, Lui-Hsian ; Meller, Barbara ; Kruger, Ulrich .
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:25:y:2016:i:c:p:83-97.

    Full description at Econpapers || Download paper

11. Instituciones de importancia sistémica: identificación y desafíos regulatorios. (2016). Jara, Alejandro ; Cifuentes, Rodrigo .
    In: Notas de Investigación Journal Economía Chilena (The Chilean Economy).
    RePEc:chb:bcchni:v:19:y:2016:i:1:p:92-106.

    Full description at Econpapers || Download paper

12. Interconnectedness of the Irish banking sector with the global financial system. (2016). Hallissey, Niamh .
    In: Quarterly Bulletin Articles.
    RePEc:cbi:qtbart:y:2016:m:01:p:66-82.

    Full description at Econpapers || Download paper

13. Can banks default overnight? Modeling endogenous contagion on O/N interbank market. (2016). Arendarski, Piotr ; Gubiec, Tomasz ; Ochnicki, Piotr ; Wili, Mateusz ; Smaga, Pawel.
    In: Papers.
    RePEc:arx:papers:1603.05142.

    Full description at Econpapers || Download paper

14. The framework of systemic risk related to contagion, recovery rate and capital requirement in an interbank network. (2014). Ren, Xuemin ; Jiang, Lishang ; Yuan, George X.
    In: Journal of Financial Engineering (JFE).
    RePEc:wsi:jfexxx:v:01:y:2014:i:01:n:s2345768614500044.

    Full description at Econpapers || Download paper

15. Influencia de los precios de los metales y el mercado internacional en el riesgo bursátil peruano. (2014). Zevallos, Mauricio ; del Carpio, Carlos ; Abbara, Omar ; Villarreal, Fernanda.
    In: Working Papers.
    RePEc:rbp:wpaper:2014-023.

    Full description at Econpapers || Download paper

16. Basel III, capital stability, risk-taking, ownership: Evidence from Asia. (2014). Jiraporn, Pornsit ; Chalermchatvichien, Pichaphop ; Jumreornvong, Seksak .
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:28:y:2014:i:c:p:28-46.

    Full description at Econpapers || Download paper

17. Bank systemic risk and macroeconomic shocks: Canadian and U.S. evidence. (2014). Calmès, Christian ; Calmes, Christian ; Theoret, Raymond .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:40:y:2014:i:c:p:388-402.

    Full description at Econpapers || Download paper

18. Novel three-bank model for measuring the systemic importance of commercial banks. (2014). Lu, Jing ; Hu, Xiaohong.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:43:y:2014:i:c:p:238-246.

    Full description at Econpapers || Download paper

19. An empirical study of the Mexican banking system’s network and its implications for systemic risk. (2014). Bravo-Benitez, Bernardo ; Martinez-Jaramillo, Serafin ; Solorzano-Margain, Juan Pablo ; Alexandrova-Kabadjova, Biliana .
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:40:y:2014:i:c:p:242-265.

    Full description at Econpapers || Download paper

20. Identifying and Regulating Systemically Important Financial Institutions. (2014). Nieri, Laura ; Bongini, Paola .
    In: Economic Notes.
    RePEc:bla:ecnote:v:43:y:2014:i:1:p:39-62.

    Full description at Econpapers || Download paper

21. Efficient solution of structural default models with correlated jumps and mutual obligations. (2014). Itkin, Andrey ; Lipton, Alexander.
    In: Papers.
    RePEc:arx:papers:1408.6513.

    Full description at Econpapers || Download paper

22. Transatlantic systemic risk. (2013). Wewel, Claudio ; Trapp, Monika .
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:1210r.

    Full description at Econpapers || Download paper

23. Systemic Risk Monitoring and Financial Stability. (2013). Liang, Nellie.
    In: Journal of Money, Credit and Banking.
    RePEc:wly:jmoncb:v:45:y:2013:i:s1:p:129-135.

    Full description at Econpapers || Download paper

24. MACROPRUDENTIAL POLICY: CONCEPTUAL POSITIONS. (2013). Stariina, Ludmila ; Cuhal, Radu ; BASISTiI, Nicolae .
    In: ECONOMY AND SOCIOLOGY: Theoretical and Scientifical Journal.
    RePEc:nos:ycriat:30.

    Full description at Econpapers || Download paper

25. An Axiomatic Approach to Systemic Risk. (2013). Chen, Chen ; Moallemi, Ciamac C ; Iyengar, Garud .
    In: Management Science.
    RePEc:inm:ormnsc:v:59:y:2013:i:6:p:1373-1388.

    Full description at Econpapers || Download paper

26. On Multivariate Extensions of Value-at-Risk. (2013). Cousin, Areski ; Di Bernadino, Elena .
    In: Working Papers.
    RePEc:hal:wpaper:hal-00638382.

    Full description at Econpapers || Download paper

27. Transatlantic systemic risk. (2013). Wewel, Claudio ; Trapp, Monika .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:11:p:4241-4255.

    Full description at Econpapers || Download paper

28. A PCA Approach to Common Risk Exposures in the Chilean Banking System. (2013). Jara, Alejandro ; Avanzini, Diego .
    In: Working Papers Central Bank of Chile.
    RePEc:chb:bcchwp:707.

    Full description at Econpapers || Download paper

29. A CRITICAL REVIEW OF CONTAGION RISK IN BANKING. (2013). Hasman, Augusto.
    In: Journal of Economic Surveys.
    RePEc:bla:jecsur:v:27:y:2013:i:5:p:978-995.

    Full description at Econpapers || Download paper

30. On Multivariate Extensions of Value-at-Risk. (2013). Cousin, Areski ; Di Bernadino, Elena .
    In: Papers.
    RePEc:arx:papers:1111.1349.

    Full description at Econpapers || Download paper

31. Transatlantic systemic risk. (2012). Wewel, Claudio ; Trapp, Monika .
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:1210.

    Full description at Econpapers || Download paper

32. Systemic risk components and deposit insurance premia. (2012). Staum, Jeremy .
    In: Quantitative Finance.
    RePEc:taf:quantf:v:12:y:2012:i:4:p:651-662.

    Full description at Econpapers || Download paper

33. Bank systemic risk and the business cycle: Canadian and U.S. evidence. (2012). Calmès, Christian ; Calmes, Christian ; Theoret, Raymond .
    In: RePAd Working Paper Series.
    RePEc:pqs:wpaper:022012.

    Full description at Econpapers || Download paper

34. A cost–benefit analysis of Basel III: Some evidence from the UK. (2012). Hall, Maximilian ; Hall, Maximilian J. B., ; Turner, Paul ; Yan, Meilan .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:25:y:2012:i:c:p:73-82.

    Full description at Econpapers || Download paper

35. How To Identify Systemically Important Financial Institutions. (2012). Frait, Jan ; Komarkova, Zlatuse ; Hausenblas, Vaclav.
    In: Occasional Publications - Chapters in Edited Volumes.
    RePEc:cnb:ocpubc:fsr1112/1.

    Full description at Econpapers || Download paper

36. Closed form solutions of measures of systemic risk. (2012). Jaeger-Ambrozewicz, Manfred .
    In: Papers.
    RePEc:arx:papers:1211.4173.

    Full description at Econpapers || Download paper

37. La formulación de políticas desde una perspectiva macroprudencial en economías emergentes. (2011). Moreno, Ramon.
    In: Revista Estudios Económicos.
    RePEc:rbp:esteco:ree-22-02.

    Full description at Econpapers || Download paper

38. Bank systemic risk and the business cycle: An empirical investigation using Canadian data. (2011). Calmès, Christian ; Calmes, Christian ; Theoret, Raymond .
    In: RePAd Working Paper Series.
    RePEc:pqs:wpaper:322011.

    Full description at Econpapers || Download paper

39. Comment on How to Calculate Systemic Risk Surcharges. (2011). Drehmann, Mathias.
    In: NBER Chapters.
    RePEc:nbr:nberch:12064.

    Full description at Econpapers || Download paper

40. A Cost-Benefit Analysis of Basel III: Some Evidence from the UK. (2011). Turner, Paul ; Hall, Maximilian ; Maximilian J. B. Hall, ; Yan, Meilin .
    In: Discussion Paper Series.
    RePEc:lbo:lbowps:2011_05.

    Full description at Econpapers || Download paper

41. The Taxation and Regulation of Banks. (2011). Keen, Michael.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2011/206.

    Full description at Econpapers || Download paper

42. Systemic surcharges and measures of systemic importance. (2011). Berg, Sigbjorn Atle .
    In: Journal of Financial Regulation and Compliance.
    RePEc:eme:jfrcpp:v:19:y:2011:i:4:p:383-395.

    Full description at Econpapers || Download paper

43. Measuring and testing for the systemically important financial institutions. (2011). Castro Iragorri, Carlos ; Ferrari, Stijn .
    In: DOCUMENTOS DE TRABAJO.
    RePEc:col:000092:008779.

    Full description at Econpapers || Download paper

44. Systemic capital requirements. (2011). Willison, Matthew ; Webber, Lewis.
    In: Bank of England working papers.
    RePEc:boe:boeewp:0436.

    Full description at Econpapers || Download paper

45. Measuring the systemic importance of interconnected banks. (2011). Tarashev, Nikola ; Drehmann, Mathias.
    In: BIS Working Papers.
    RePEc:bis:biswps:342.

    Full description at Econpapers || Download paper

46. Policymaking from a macroprudential perspective in emerging market economies. (2011). Moreno, Ramon.
    In: BIS Working Papers.
    RePEc:bis:biswps:336.

    Full description at Econpapers || Download paper

47. Systemic importance: some simple indicators. (2011). Tarashev, Nikola ; Drehmann, Mathias.
    In: BIS Quarterly Review.
    RePEc:bis:bisqtr:1103e.

    Full description at Econpapers || Download paper

48. Applying CoVaR to measure systemic market risk: the Colombian case. (2011). Perez-Reyna, David ; Arias, Mauricio ; Mendoza, Juan Carlos .
    In: IFC Bulletins chapters.
    RePEc:bis:bisifc:34-23.

    Full description at Econpapers || Download paper

49. Measuring the systemic importance of financial institutions using market information. (2010). Castro Iragorri, Carlos ; Ferrari, Stijn .
    In: Financial Stability Review.
    RePEc:nbb:fsrart:v:8:y:2010:i:1:p:127-141.

    Full description at Econpapers || Download paper

50. Applying CoV aR to Measure Systemic Market Risk: the Colombian Case. (2010). Perez-Reyna, David ; Mendoza, juan ; Arias, Mauricio.
    In: Temas de Estabilidad Financiera.
    RePEc:bdr:temest:047.

    Full description at Econpapers || Download paper

Report date: 2024-08-26 16:15:41 || Create a citation alert || Missing content? Let us know