Quantifying systemic risk with factor copulas-Reference-Cited by-同舟云学术

Quantifying systemic risk with factor copulas

Published:2020-10-06 Issue:18 Volume:26 Page:1926-1947
ISSN:1351-847X
Container-title:The European Journal of Finance
language:en
Short-container-title:The European Journal of Finance

Author:

Chen Cathy Yi-Hsuan¹²,Nasekin Sergey³^ORCID

Affiliation:

1. Adam Smith Business School, University of Glasgow, Glasgow, UK

2. IRTG 1792 High Dimensional Non Stationary Time Series, Humboldt-Universität zu Berlin, Berlin, Germany

3. Deutsche Bank AG, Frankfurt, Berlin, Germany

Funder

Deutsche Forschungsgemeinschaft

Publisher

Informa UK Limited

Subject

Economics, Econometrics and Finance (miscellaneous)

Link

https://www.tandfonline.com/doi/pdf/10.1080/1351847X.2020.1828961

Reference22 articles.

1. Measuring Systemic Risk

2. CoVaR

3. Which are the SIFIs? A Component Expected Shortfall approach to systemic risk

4. NETS: Network estimation for time series

5. Basel Committee on Banking Supervision . 2013. “Global Systemically Important Banks: Updated Assessment Methodology and the Higher Loss Absorbency Requirement.”

Cited by 7 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. Financial network structure and systemic risk;The European Journal of Finance;2023-10-31

2. Dynamic factor copula-based modeling for market risk optimization with an application to the real industry in China;Journal of Innovation & Knowledge;2023-10

3. The stable tail dependence and influence among the European stock markets: a score-driven dynamic copula approach;The European Journal of Finance;2023-02-01

4. Application of RQMC for CDO Pricing with Stochastic Correlations under Nonhomogeneous Assumptions;Complexity;2022-07-31

5. A General Numerical Algorithm for CDO Pricing Based on Single Factor Copula Framework and Nonhomogeneous Assumptions;Mathematical Problems in Engineering;2022-04-23