- , “Detecting Systemic Risk,†Global Financial Stability Report Chapter 3, World Economic and Financial Surveys, (Washington, D.C.: International Monetary Fund), April 2009b.
Paper not yet in RePEc: Add citation now
- , “Detection of Change Points in a Time Series - Statistics in Action with R,†March 2017. http://sia.webpopix.org/changePoints.html.
Paper not yet in RePEc: Add citation now
- , “Measuring Systemic Risk-Adjusted Liquidity (SRL) - A Model Approach,†Journal of Banking and Finance, 2014, 45, 270–87.
Paper not yet in RePEc: Add citation now
- , “Multivariate Dependence of Implied Volatilities from Equity Options as Measure of Systemic Risk,†International Review of Financial Analysis, June 2013, 28, 112–29.
Paper not yet in RePEc: Add citation now
- , “Option Pricing When Underlying Stock Returns are Continuous,†Journal of Financial Economics, 1976, 3, 125–44.
Paper not yet in RePEc: Add citation now
- Acharya, Viral V., Lasse H. Pedersen, Tomas. Philippon, and Matthew Richardson, “Measuring Systemic Risk,†Working Paper 1002, Federal Reserve Bank of Cleveland 2010.
Paper not yet in RePEc: Add citation now
Allen, Franklin, Ana Babus, and Elena Carletti, “Financial Connections and Systemic Risk,†Technical Report, NBER 2010.
Artzner, Philippe, Freddy Delbaen, Jean-Marc Eber, and David Heath, “Coherent Measures of Risk,†Mathematical Finance, 1999, 9, 203–28.
Ball, Clifford A. and Walter N. Torous, “A Simplified Jump Process for Common Stock Returns,†Journal of Financial and Quantitative Analysis, 1983, 18(1), 53–65.
- Banelescu, Georgiana-Denisa and Elena-Ivona Dumitrescu, “What at the SIFIs: A Component Expected Shortfall (CES) Approach to Systemic Risk,†EUI Working Paper MWP 2013/23, San Domenico di Fiesole: European University Institute August 2013.
Paper not yet in RePEc: Add citation now
Bardoscia, Marco, Paolo Barruca, Adam Brinley Codd, and John Hill, “The Decline of Solvency Contagion Risk,†Working Paper 662, Bank of England, June 2017.
- Bernardi, Mauro, Antonella Maruotti, and Lea Petrella, “Multiple Risk Measures for Multivariate Dynamic Heavy-tailed Models,†Journal of Emprical Finance, 2017, 43 (C), 1–32.
Paper not yet in RePEc: Add citation now
Black, Fisher and Myron S. Scholes, “The Pricing of Options and Corporate Liabilities,†Journal of Political Economy, 1973, 81, 637–59.
Blancher, Nicolas, Srobona Mitra, Hanan Morsy, Akira Otani, Tiago Severo, and Laura Valderrama, “Systemic Risk Monitoring (SysMo) Toolkit - A User Guide,†Working Paper 13/168, IMF, Washington D.C.: International Monetary Fund 2013.
- Borwein, Jonathan M., David M. Bradley, and Richard Crandall, “Computational Strategies for the Riemann Zeta Function,†Journal of Computational and Applied Mathematics, 2000, 121, 247–96.
Paper not yet in RePEc: Add citation now
- Brownlees, Christian and Robert Engle, “Volatility, Correlation and Tails for Systemic Risk Measurement,†Working Paper, NYU Stern School of Business May 2011.
Paper not yet in RePEc: Add citation now
Campbell, John Y., Martin Lettau, Burton G. Malkiel, and Yexiao Xu, “Have Individual Stock Become More Volatile? An Empirical Exploration of Idiosyncratic Risk,†Journal of Finance, 2001, Vol. 56(1), 1–43.
Cerutti, Eugenio, Stijn Claessens, and Patrick McGuire, “Systemic Risks In Global Bankng: What Available Data can tell us and What More Data are Needed?,†Working Paper 11/222, IMF, Washington D.C., International Monetary Fund 2011.
Cesare, Antonio Di and Anna Rogantini Picco, “A Survey of Systemic Risk Indicators,†Occasional Papers 458, Banca D’Italia October 2018.
- Coles, Stuart, Janet Heffernen, and Jonathan Tawn, “Dependence Measures for Extreme Value Analysis,†Extremes, 1999, 56, 339–65.
Paper not yet in RePEc: Add citation now
Cox, John C., Stephen A. Ross, and Mark Rubinstein, “Option Pricing: A Simplified Approach, †Journal of Financial Economics, 1979, 7 (3), 229–63.
- Crosby, Peter and Jeff Bohn, “Modeling Default Risk,†Technical Report, Moody’s KMV Company 2003.
Paper not yet in RePEc: Add citation now
- Danielsson, Jon, “The Emperor Has No Clothes,†Journal of Banking and Finance, 2002, 26, 1273– 96.
Paper not yet in RePEc: Add citation now
Dumas, Bernard, Jeff Fleming, and Robert E. Whaley, “Implied Volatility Functions: Empirical Tests,†Journal of Finance, 1998, 53 (6), 2059–106.
Elsinger, Helmut, Alfred Lehar, and Martin Summer, “Using Market Information for Banking System Risk Assessment,†International Journal of Central Banking, 2006, 2 (1), 137–66.
- Fisher, Ronald A. and Leonard H.C. Tippett, “Limiting Forms of the Frequency Distribution of the Largest or Smallest Member of a Sample,†Proceedings of the Cambridge Philosophical Society, 1928, 24, 180–90.
Paper not yet in RePEc: Add citation now
Giudici, Paolo and Laura Parisi, “CoRisk: Measuring Systemic Risk through Default Probability Contagion,†DEM Working Paper Series 116, University of Paris, Department of Economics and Management 2016.
- Gnedenko, Boris V., “Sur la Distribution Limite du Terme Maximum d’Une,†Annals of Mathematics, 1943, 44, 423–53.
Paper not yet in RePEc: Add citation now
- Gray, Dale and Samuel Malone, Macrofinancial Risk Analysis, Wiley Finance, 2008.
Paper not yet in RePEc: Add citation now
- Gray, Dale F. and Andreas A. Jobst, “New Directions in Financial Sector and Sovereign Risk Management,†Journal of Investment Management, 2010, 8(1), 23–8.
Paper not yet in RePEc: Add citation now
- Haldane, Andrew G., “Capital Discipline,†January 2011. Speech given at American Economic Association, Denver/Colorado.
Paper not yet in RePEc: Add citation now
- Hall, Peter and Nader Tajvidi, “Distribution and Dependence-function Estimation for Bivariate Extreme Value Distributions,†Bernoulli, 2000, 6, 835–44.
Paper not yet in RePEc: Add citation now
- Hamilton, James D., Time Series Analysis, Princetown University Press, 1994.
Paper not yet in RePEc: Add citation now
- Hanson, Floyd B., John J. Westman, and Zongwu Zhu, “Multinomial Maximum Likelihood Estimation of Market Parameters for Stock Jump-Diffusion Models,†Contemporary Mathematics, 2004, 351, 155–69.
Paper not yet in RePEc: Add citation now
Hattori, Akio, Kentaro Kikuchi, and Uchida Yoshihiko, “A Survey of Systemic Risk Measures. Methodology and Application to the Japanese Market,†Discussion Paper Series 2014 E-3, Institute for Monetary and Economic Studies (IMES), Tokyo: Bank of Japan April 2014.
Heston, Steven L., “A Closed-Form Solution for Options and Stochastic Volatility with Applications to Bond and Currency Options,†Review of Financial Studies, 1993, 6 (2), 327–43.
- Honore, Peter, “Pitfalls in Estimating Jump-Diffusion Models,†Technical Report, University of Aarhus Aarhus School of Business 1998.
Paper not yet in RePEc: Add citation now
- International Monetary Fund, “Assessing the Systemic Implications of Financial Linkages,†Global Financial Stability Report Chapter 2, World Economic and Financial Surveys, (Washington, D.C.: International Monetary Fund), April 2009a.
Paper not yet in RePEc: Add citation now
- International Monetary Fund, “People’s Republic of China-Hong Kong Special Administrative Region: Technical Note on Stress Testing the Banking Sector,†IMF Country Report 14/210, (Washington, D.C.: International Monetary Fund), 16 July 2014. 19-25.
Paper not yet in RePEc: Add citation now
Jobst, Andreas A., “Operational Risk - The Sting is Still in the Tail But the Possion Depends on the Dose,†Journal of Operational Risk, 2007, 2(2), 1–56.
Jordan, Dan J., Douglas Rice, Jacques Sanchez, and Donald H. Wort, “Explaining Bank Market-to-Book Ratios: Evidence from 2006 to 2009,†Journal of Banking and Finance, 2011, 35(8), 2047–55.
Kanno, Masayasu, “The Network Structure and Systematic Risk in the Global Non-life Insurance Market,†Insurance: Mathematics and Economics, 2016, 67, 38–53.
Karas, Marta and Witold Szczepaniak, “Towards a Generalized Measure of Systemic Risk: Systemic Turbulence Measure,†in Krzysztof Jajuga, Hermann Locarek-Junge, Lucjan T. Orlowski, and Karsten Staehr, eds., Contemporary Trends and Challenges in Finance, Springer Proceedings in Business and Economics Cham: Springer 2019, pp. 11–21.
- Karimalis, Emmanouil N. and Nikos K. Nomikos, “Measuring Systemic Risk in the European Bankng Sector: A Copula CoVaR Approach,†European Journal of Finance, 2018, 24 (11), 944–75.
Paper not yet in RePEc: Add citation now
Kerry, Will, “Finding the Bad Apples in the Barrel: Using the Market Value of Equity to Signal Banking Sector Vulnerabilities,†Working Paper 19/20, IMF, Washington, D.C. : International Monetary Fund 2019.
Kiefer, Nicholas M., “Discrete Parameter Variation: Efficient Estimation of a Switching Regression Model,†Econometrica, 1978, 46, 427–34.
- Lavielle, Marc, “Using Penalized Contrasts for the Change-Point Problem,†Signal Processing, 2005, 85, 1501–10.
Paper not yet in RePEc: Add citation now
Law, Daniel and Shaun K. Roache, “Assessing Default Risks for Chinese Firms: A Lost Cause?,†Working Paper 15/140, IMF, Washington D.C.: International Monetary Fund 2015.
- Leland, Hayne E., “Predictions of Default Probabilities in Structural Models of Debt,†in H. Gifford Fong, ed., The Credit Market Handbook, John Wiley & Sons, 2006.
Paper not yet in RePEc: Add citation now
Liao, Shuyu, Elvira Sojli, and Wing W. Tham, “Managing Systemic Risk in the Netherlands,†International Review of Economics and Finance, 2015, 40, 231–45.
Merton, Robert C., “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,†The Journal of Finance, 1974, 29(2), 449–70.
- Novickyte, Lina and Victorija Dicpinigatiene, “Application of Systemic Risk Measurement Methods: A Systematic Review and Meta-analysis Using a Network Approach,†Quantitative Finance and Economics, 2018, 2 (4), 798–820.
Paper not yet in RePEc: Add citation now
- Pickands, James III, “Multivariate Extreme Value Distributions,†Proceedings of the 43rd Session of the International Statistical Institute, 1981, 49, 859–78.
Paper not yet in RePEc: Add citation now
- Poon, Ser-Huan, Michael Rockinger, and Jonathan Tawn, “Extreme Value Dependence in Financial Markets:Diagnostics, Models and Financial Implications,†Review of Financial Studies, 2003, 17 (2), 581–610.
Paper not yet in RePEc: Add citation now
Popescu, Alexandra and Carmelia Turcu, “Systemic Sovereign Risk in Europe: An MES and CES Approach,†Review D’economie Politique, 2014, 124 (6), 899–925.
Reboredo, Juan C. and Andrea Ugolini, “Systemic Risk In European Sovereign Debt Markets: A CoVaR-Copula Approach,†Journal of International Money and Finance, 2015, 51, 214–44.
- Sheu, Her-Jiun and Chien-Ling Cheng, “Systemic Risk in Taiwan Stock Market,†Journal of Business Economics and Management, 2012, 13 (6), 895–914.
Paper not yet in RePEc: Add citation now
- Sklar, Abe, “Fonctions de Repartition et Dimensions et Leurs Marges,†Publ. Inst. Statist. Univ. Paris, 1959, 8, 229–31.
Paper not yet in RePEc: Add citation now
- Sondow, Jonathan, “An Antisymmetric Formula for Euler’s Constant,†Mathematics Magazine, 1998, No.71, 219–20.
Paper not yet in RePEc: Add citation now
- Synowiec, Daniel, “Jump-diffusion Models with Constant Parameters for Financial Log-return Processes, †Computers and Mathematics with Applications, 2008, 56, 2120–27.
Paper not yet in RePEc: Add citation now
Webber, Lewis and Matthew Willison, “Systemic Capital Requirements,†Working Paper 436, Bank of England 2011.
Zhou, Chunsheng, “A Jump-Diffusion Approach to Modeling Credit Risk and Valuing Defaultable Securities,†Finance and Economics Discussion Series Paper No. 15, Board of Governors of the Federal Reserve System, 1997.