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Financial systemic risk measurement based on causal network connectedness analysis

  • Published:2019-11 Issue: Volume:64 Page:290-307
  • ISSN:1059-0560
  • Container-title:International Review of Economics & Finance
  • language:en
  • Short-container-title:International Review of Economics & Finance

Author:

Gong Xiao-Li,Liu Xi-Hua,Xiong Xiong,Zhang Wei

Funder

National Social Science Fund of China

National Science Foundation of China

China Postdoctoral Science Foundation

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference40 articles.

1. Systemic risk and stability in financial networks;Acemoglu;The American Economic Review,2015

2. Capital shortfall: A new approach to ranking and regulating systemic risks;Acharya;The American Economic Review,2012

3. CoVaR;Adrian;The American Economic Review,2016

4. Which are the SIFIs? A component expected shortfall approach to systemic risk;Banulescu;Journal of Banking & Finance,2015

5. Securitization and systemic risk: An empirical investigation on Italian banks over the financial crisis;Battaglia;International Review of Financial Analysis,2013

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