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2. Measuring Systemic Risk Using Multivariate Quantile-Located ES Models*. (2023). Sanchis-Marco, Lidia ; Garcia-Jorcano, Laura.
   In: The Journal of Financial Econometrics.
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3. Market Risk and Volatility Weighted Historical Simulation After Basel III. (2022). Firouzi, Hassan Omidi ; Laurent, Jean-Paul.
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4. On the Effectiveness of Stock Index Futures for Tail Risk Protection. (2022). Zouari, Hammadi.
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5. .

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6. Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures. (2021). Scaillet, Olivier ; Leymarie, Jeremy ; Hurlin, Christophe ; Banulescu-Radu, Denisa.
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7. Testing for a serial correlation in VaR failures through the exponential autoregressive conditional duration model. (2021). Maecka, Marta.
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   RePEc:exl:29stat:v:22:y:2021:i:1:p:145-162.

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8. A dominance approach for comparing the performance of VaR forecasting models. (2020). Novales, Alfonso ; Garcia-Jorcano, Laura.
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9. Backtesting marginal expected shortfalland related systemic risk measures. (2020). Scaillet, Olivier ; Leymarie, Jeremy ; Hurlin, Christophe ; Banulescu-Radu, Denisa.
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10. Spectral backtests of forecast distributions with application to risk management. (2020). McNeil, Alexander J ; Gordy, Michael B.
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11. A cost-benefit analysis of capital requirements adjusted for model risk. (2020). Tunaru, Radu ; Fringuellotti, Fulvia ; Farkas, Walter.
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12. Strategic Selection of Risk Models and Bank Capital Regulation. (2019). Colliard, Jean-Edouard.
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13. Utilizing professional accounting concepts to understand and respond to academic dishonesty in accounting programs. (2019). Lento, Camillo ; Bujaki, Merridee ; Sayed, Naqi.
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14. Model risk of expected shortfall. (2019). Zhang, Ning ; Lazar, Emese.
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15. Backtesting VaR and ES under the magnifying glass. (2019). Panopoulou, Ekaterini ; Argyropoulos, Christos.
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16. Forecasting the joint distribution of Australian electricity prices using dynamic vine copulae. (2019). Pourkhanali, Armin ; Alavifard, Farzad ; Manner, Hans ; Tafakori, Laleh.
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17. Spectral Backtests of Forecast Distributions with Application to Risk Management. (2018). Gordy, Michael ; McNeil, Alexander J.
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18. Multinomial VaR backtests: A simple implicit approach to backtesting expected shortfall. (2018). Lok, Yen ; McNeil, Alexander J ; Kratz, Marie.
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19. Forecasting spikes in electricity return innovations. (2018). Tafakori, Laleh ; Alavifard, Farzad ; Pourkhanali, Armin.
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20. Detection of Mispricing in the Black–Scholes PDE Using the Derivative-Free Nonlinear Kalman Filter. (2017). Zervos, N ; Rigatos, G.
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21. Backtesting Expected Shortfall: Accounting for Tail Risk. (2017). Escanciano, Juan Carlos ; Du, Zaichao.
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22. Value-at-Risk under Lévy GARCH models: Evidence from global stock markets. (2017). BenSaïda, Ahmed ; Slim, Skander ; Bensaida, Ahmed ; Koubaa, Yosra.
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27. Risk models–at–risk. (2013). Maillet, Bertrand ; Danielsson, Jon ; Boucher, Christophe M. ; Kouontchou, Patrick S..
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1. Risk and Financial Management Article Systemic Risk Indicators Based on Nonlinear PolyModel. (2019). Ye, Xingxing ; Douady, Raphael.
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2. Anticipating the Financial Crisis: Evidence from Insider Trading in Banks. (2016). Peydro, Jose-Luis ; Marin, Jose ; Akin, Ozlem .
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3. Systemic risk measures and macroprudential stress tests. An assessment over the 2014 EBA exercise. (2015). Pederzoli, Chiara ; Torricelli, Costanza.
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4. Has the financial system become safer after the crisis? The changing nature of financial institution risk. (2015). Dong, Gang Nathan ; Calluzzo, Paul .
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5. Calculating systemic risk capital: A factor model approach. (2015). Pasiouras, Fotios ; Avramidis, Panagiotis.
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6. A Macroeconomic Framework for Quantifying Systemic Risk. (2014). He, Zhiguo ; Krishnamurthy, Arvind.
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7. Caught between Scylla and Charybdis? Regulating bank leverage when there is rent seeking and risk shifting. (2014). Thakor, Anjan ; Mehran, Hamid ; Acharya, Viral.
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8. Financialization in Commodity Markets: Disentangling the Crisis from the Style Effect. (2013). Gluck, Thorsten ; Adams, Zeno.
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9. Systemic Risk Analysis of Turkish Financial Institutions with Systemic Expected Shortfall. (2013). Talasli, Irem .
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10. Capital and Contagion in Financial Networks. (2013). Infante, Luigi ; di Iasio, Giovanni ; Pierobon, Federico ; Battiston, Stefano.
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11. Identifying, ranking and tracking systemically important financial institutions (SIFIs), from a global, EU and Eurozone perspective. (2013). Masciantonio, Sergio.
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12. Too big to fail or Too non-traditional to fail?: The determinants of banks systemic importance. (2013). Zhou, Chen ; Moore, Kyle.
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13. The Supermodular Stochastic Ordering. (2013). Strulovici, Bruno ; Meyer, Margaret.
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14. The Taxation of Bilateral Trade with Endogenous Information. (2013). Morath, Florian ; Dang, Tri Vi .
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15. Risk-neutral systemic risk indicators. (2013). Malz, Allan M..
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16. Valuation and systemic risk consequences of bank opacity. (2013). Jones, Jeffrey S. ; Lee, Wayne Y. ; Yeager, Timothy J..
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17. The Risk Map: A new tool for validating risk models. (2013). Hurlin, Christophe ; Perignon, Christophe ; Colletaz, Gilbert.
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18. Good for one, bad for all: Determinants of individual versus systemic risk. (2013). López-Espinosa, Germán ; Rubia, Antonio ; Anton, Miguel ; Valderrama, Laura ; Lopez-Espinosa, German.
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19. How useful is the marginal expected shortfall for the measurement of systemic exposure? A practical assessment. (2013). Mésonnier, Jean-Stéphane ; LAME, GILDAS ; Idier, Julien ; Mesonnier, Jean-Stephane.
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20. Testing for the Systemically Important Financial Institutions: a Conditional Approach. (2013). Tokpavi, Sessi.
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21. Systemic Risk Allocation for Systems with A Small Number of Banks. (2013). Zhou, Chen ; Qin, Xiao.
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22. Fund Management and Systemic Risk - Lessons from the Global Financial Crisis. (2013). Bengtsson, E..
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23. Bayesian inference for CoVaR. (2013). Bernardi, Mauro ; Gayraud, Ghislaine ; Petrella, Lea.
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24. Credit risk connectivity in the financial industry and stabilization effects of government bailouts. (2012). Wedow, Michael ; Koetter, Michael ; Bosma, Jakob .
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25. Can Portfolio Diversification increase Systemic Risk? Evidence from the U.S and European Mutual Funds Market. (2012). Scandizzo, Pasquale ; Dicembrino, Claudio.
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26. Financial Risk Measurement for Financial Risk Management. (2012). Diebold, Francis ; Christoffersen, Peter ; Bollerslev, Tim ; Andersen, Torben.
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27. How to Calculate Systemic Risk Surcharges. (2012). Pedersen, Lasse H. ; Acharya, Viral V. ; Philippon, Thomas ; Richardson, Matthew.
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28. Measuring systemic risk: A factor-augmented correlated default approach. (2012). Suh, Sangwon.
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29. International diversification: An extreme value approach. (2012). Lu, Ching-Chih ; de la Pea, Victor ; Chollete, Lorn .
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30. Short-term wholesale funding and systemic risk: A global CoVaR approach. (2012). Moreno, Antonio ; López-Espinosa, Germán ; Valderrama, Laura ; Lopez-Espinosa, German ; Rubia, Antonio.
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31. Systemic risk, macroprudential policy frameworks, monitoring financial systems and the evolution of capital adequacy. (2012). Ellis, Luci ; BORIO, Claudio ; Arnold, Bruce ; Moshirian, Fariborz .
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32. A proposal for the resolution of systemically important assets and liabilities: The case of the repo market. (2012). Acharya, Viral ; Oncu, Sabri T.
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33. Closed form solutions of measures of systemic risk. (2012). Jaeger-Ambrozewicz, Manfred .
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34. On dependence consistency of CoVaR and some other systemic risk measures. (2012). Schaanning, Eric ; Mainik, Georg .
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35. Contagion in the interbank market and its determinants. (2011). Memmel, Christoph ; Sachs, Angelika .
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36. Systemic risk contributions: a credit portfolio approach. (2011). Tente, Natalia ; Dullmann, Klaus ; Puzanova, Natalia .
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37. Systemic risk contributions. (2011). Zhou, Hao ; Zhu, Haibin ; Huang, Xin.
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38. The (revised) future of financial markets. (2011). Bennett, Paul .
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39. Capital ratios and the cross-section of bank stock returns: Evidence from Japan. (2011). Chen, Sichong.
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40. This Time Is the Same: Using Bank Performance in 1998 to Explain Bank Performance during the Recent Financial Crisis. (2011). Stulz, René ; Fahlenbrach, Ruediger ; Prilmeier, Robert.
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41. Capital Regulation and Tail Risk. (2011). Vlahu, Razvan ; Ratnovski, Lev ; Perotti, Enrico.
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42. Measuring the systemic importance of interconnected banks. (2011). Tarashev, Nikola ; Drehmann, Mathias.
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43. Macroprudential policy - a literature review. (2011). Moessner, Richhild ; Galati, Gabriele.
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44. Systemic importance: some simple indicators. (2011). Tarashev, Nikola ; Drehmann, Mathias.
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45. How useful is the Marginal Expected Shortfall for the measurement of systemic exposure? A practical assessment. (2011). Mésonnier, Jean-Stéphane ; LAME, GILDAS ; Idier, Julien ; Mesonnier, J S., .
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46. VAR for VaR: measuring systemic risk using multivariate regression quantiles.. (2010). Manganelli, Simone ; Kim, Tae-Hwan ; White, Halbert.
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47. Econometric Measures of Systemic Risk in the Finance and Insurance Sectors. (2010). Pelizzon, Loriana ; Lo, Andrew ; Billio, Monica ; Getmansky, Mila.
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48. Systemic risk in a network model of interbank markets with central bank activity. (2010). Poschmann, Jenny ; Georg, Co-Pierre.
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49. Caught between Scylla and Charybdis? Regulating bank leverage when there is rent seeking and risk shifting. (2010). Thakor, Anjan ; Mehran, Hamid ; Acharya, Viral ; AnjanV. Thakor, .
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