Measuring CoVaR: An Empirical Comparison-Reference-Cited by-同舟云学术

Measuring CoVaR: An Empirical Comparison

Published:2019-06-19 Issue:2 Volume:55 Page:511-528
ISSN:0927-7099
Container-title:Computational Economics
language:en
Short-container-title:Comput Econ

Author:

Bianchi Michele Leonardo,Sorrentino Alberto Maria

Publisher

Springer Science and Business Media LLC

Subject

Computer Science Applications,Economics, Econometrics and Finance (miscellaneous)

Link

http://link.springer.com/content/pdf/10.1007/s10614-019-09901-2.pdf

Reference22 articles.

1. Adrian, T., & Brunnermeier, M. K. (2011). CoVaR. NBER Working Paper, No. 17454.

2. Adrian, T., & Brunnermeier, M. K. (2016). CoVaR. American Economic Review, 106(7), 1705–1741.

3. Basel Committee on Banking Supervision. (2011). Global systemically important banks: Assessment methodology and the additional loss absorbency requirement. Policy Document.

4. Basel Committee on Banking Supervision. (2013). Global systemically important banks: Updated assessment methodology and the higher loss absorbency requirement. Policy Document.

5. Basel Committee on Banking Supervision. (2018). Global systemically important banks: Revised assessment methodology and the higher loss absorbency requirement. Policy Document.

Cited by 8 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Bank leverage and systemic risk: Impact of bank risk‐taking and inter‐bank business;International Journal of Finance & Economics;2024-04-04

2. Systemic risk measurement: A Quantile Long Short-Term Memory network approach;Applied Soft Computing;2024-02

3. Non-Gaussian models for CoVaR estimation;International Journal of Forecasting;2023-01

4. Systemic Risk Measures and Regulatory Challenges;Journal of Financial Stability;2021-12

5. Exploring the Systemic Risk of Domestic Banks with ΔCoVaR and Elastic-Net;Journal of Financial Services Research;2021-10-13