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Back to the future: Backtesting systemic risk measures during historical bank runs and the great depression

  • Published:2020-04 Issue: Volume:113 Page:105736
  • ISSN:0378-4266
  • Container-title:Journal of Banking & Finance
  • language:en
  • Short-container-title:Journal of Banking & Finance

Author:

Brownlees ChristianORCID,Chabot Ben,Ghysels Eric,Kurz Christopher

Funder

Spanish Ministry of Science and Technology

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference34 articles.

1. Covar;Adrian;Am. Econ. Rev.,2016

2. Does systemic risk in the financial sector predict future economic downturns?;Allen;Rev. Financ. Stud.,2012

3. Credit expansion and neglected crash risk;Baron;Q. J. Econ.,2017

4. A Theoretical and Empirical Comparison of Systemic Risk Measures;Benoit,2013

5. Where the risks lie: a survey on systemic risk;Benoit;Rev. Finance,2017

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