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Systemic risk and asymmetric responses in the financial industry
López-Espinosa, Germán; Moreno, Antonio; Rubia, Antonio; … - In: Journal of banking & finance 58 (2015), pp. 471-485
Persistent link: https://www.econbiz.de/10011544046
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Market capitalization and Value-at-Risk
Dias, Alexandra - In: Journal of banking & finance 37 (2013) 12, pp. 5248-5260
Persistent link: https://www.econbiz.de/10010343742
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Leverage-induced systemic risk under Basle II and other credit risk policies
Poledna, Sebastian; Thurner, Stefan; Farmer, J. Doyne; … - In: Journal of banking & finance 42 (2014), pp. 199-212
Persistent link: https://www.econbiz.de/10010408397
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The emperor has no clothes: limits to risk modelling
Daníelsson, Jón - In: Journal of banking & finance 26 (2002) 7, pp. 1273-1296
Persistent link: https://www.econbiz.de/10001688470
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Tail estimation and mean-VaR portfolio selection in markets subject to financial instability
Consigli, Giorgio - In: Journal of banking & finance 26 (2002) 7, pp. 1355-1382
Persistent link: https://www.econbiz.de/10001688519
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Systemic risk contributions : a credit portfolio approach
Puzanova, Natalia; Düllmann, Klaus - In: Journal of banking & finance 37 (2013) 4, pp. 1243-1257
Persistent link: https://www.econbiz.de/10009719795
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Impact of systemic risk regulation on optimal policies and asset prices
Bernard, Carole; Cui, Xuecan - In: Journal of banking & finance 154 (2023), pp. 1-17
Persistent link: https://www.econbiz.de/10014491945
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Hedging crash risk in optimal portfolio selection
Zhu, Shushang; Zhu, Wei; Pei, Xi; Cui, Xueting - In: Journal of banking & finance 119 (2020), pp. 1-17
Persistent link: https://www.econbiz.de/10012521210
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Joint Extreme events in equity returns and liquidity and their cross-sectional pricing implications
Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian - In: Journal of banking & finance 115 (2020), pp. 1-31
Persistent link: https://www.econbiz.de/10012489163
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Measuring systemic importance of financial institutions : an extreme value theory approach
Gravelle, Toni; Li, Fuchun - In: Journal of banking & finance 37 (2013) 7, pp. 2196-2209
Persistent link: https://www.econbiz.de/10009760707