Ranking consistency of systemic risk measures: a simulation-based analysis in a banking network model-Reference-Cited by-同舟云学术

Ranking consistency of systemic risk measures: a simulation-based analysis in a banking network model

Published:2018-05-25 Issue:4 Volume:52 Page:953-990
ISSN:0924-865X
Container-title:Review of Quantitative Finance and Accounting
language:en
Short-container-title:Rev Quant Finan Acc

Author:

Grundke Peter^ORCID

Publisher

Springer Science and Business Media LLC

Subject

Finance,General Business, Management and Accounting,Accounting

Link

http://link.springer.com/content/pdf/10.1007/s11156-018-0732-7.pdf

Reference68 articles.

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3. Acharya VV, Engle R, Richardson M (2012) Capital shortfall: a new approach to ranking and regulation systemic risk. Am Econ Rev 102(3):59–64

4. Acharya VV, Engle R, Pierret D (2014) Testing macroprudential stress tests: the risk of regulatory risk weights. J Monet Econ 65:36–53

5. Acharya VV, Pedersen LH, Philippon T, Richardson M (2017) Measuring systemic risk. Rev Financ Stud 30(1):2–47

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