SRISK: A Conditional Capital Shortfall Measure of Systemic Risk
Author:
Publisher
Oxford University Press (OUP)
Subject
Economics and Econometrics,Finance,Accounting
Link
http://academic.oup.com/rfs/article-pdf/30/1/48/8601284/hhw060.pdf
Reference35 articles.
1. Acharya, V. , Pedersen, L. Philippon T. , and Richardson M. 2010. Measuring systemic risk. Technical Report, Department of Finance, New York University.
2. Testing macroprudential stress tests: The risk of regulatory risk weights
3. Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks
4. Admati, A. R. , and Hellwig M. 2013. The bankers’ new clothes: what’s wrong with banking and what to do about it. Princeton, NJ: Princeton University Press.
5. Adrian, T. , and Brunnermeier M. K. 2016. Forthcoming. CoVaR. American Economic Review.
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