Measuring systemic risk and contagion in the European financial network
Sign Up to like & getrecommendations! Published in 2021 at "Empirical Economics"
DOI: 10.1007/s00181-021-02135-y
Abstract: This paper introduces a novel framework to study default dependence and systemic risk in a financial network that evolves over time. We analyse several indicators of risk, and develop a new latent space model to… read more here.
Keywords: network; systemic risk; contagion; financial network ... See more keywords
Measuring Systemic Risk: A Comparison of Alternative Market-Based Approaches
Sign Up to like & getrecommendations! Published in 2017 at "Finance Research Letters"
DOI: 10.1016/j.frl.2017.01.003
Abstract: This paper compares four commonly used systemic risk metrics using data on U.S. financial institutions over the period 2005–2014. The four systemic risk measures examined are the (i) marginal expected shortfall, (ii) codependence risk, (iii)… read more here.
Keywords: risk; alternative market; risk comparison; systemic risk ... See more keywords
Measuring systemic vulnerability in European banking systems
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Financial Stability"
DOI: 10.1016/j.jfs.2018.03.004
Abstract: Abstract We construct a measure of systemic vulnerability in selected EU banking systems using an indirect, time-varying measure of the system covariance. Systemic vulnerability indicates the extent to which a banking system as a whole… read more here.
Keywords: banking systems; vulnerability; vulnerability european; measuring systemic ... See more keywords
Measuring Systemic Risk of Switching Attacks Based on Cybersecurity Technologies in Substations
Sign Up to like & getrecommendations! Published in 2020 at "IEEE Transactions on Power Systems"
DOI: 10.1109/tpwrs.2020.2986452
Abstract: This paper describes the derivation of steady-state probabilities of the power communication infrastructure based on today's cybersecurity technologies. The elaboration of steady-state probabilities is established on (i) modified models developed such as password models, (ii)… read more here.
Keywords: systemic risk; measuring systemic; cybersecurity; state probabilities ... See more keywords