Systemic risk in market microstructure of crude oil and gasoline futures prices: A Hawkes flocking model approach
Sign Up to like & getrecommendations! Published in 2019 at "Journal of Futures Markets"
DOI: 10.1002/fut.22048
Abstract: We propose the Hawkes flocking model that assesses systemic risk in high-frequency processes at the two perspectives -- endogeneity and interactivity. We examine the futures markets of WTI crude oil and gasoline for the past… read more here.
Keywords: hawkes flocking; risk; systemic risk; flocking model ... See more keywords
Management of systemic risk factors ahead of dental implant therapy: A beard well lathered is half shaved
Sign Up to like & getrecommendations! Published in 2021 at "Journal of Leukocyte Biology"
DOI: 10.1002/jlb.6mr0621-760rr
Abstract: As the most successful therapy for missing teeth, dental implant has become increasingly prevalent around the world. A lot of papers have reported diverse local risk factors affecting the success and survival rate of dental… read more here.
Keywords: therapy; systemic risk; dental implant; risk ... See more keywords
GAS Copula models on who’s systemically important in South Africa: Banks or Insurers?
Sign Up to like & getrecommendations! Published in 2019 at "Empirical Economics"
DOI: 10.1007/s00181-019-01695-4
Abstract: This paper makes use of the generalized autoregressive score (GAS) Copula model to estimate the Conditional Value at Risk (CoVaR) measure of systemic risk. The proposed measure of systemic risk considers the score of the… read more here.
Keywords: gas; gas copula; period; systemic risk ... See more keywords
Measuring systemic risk and contagion in the European financial network
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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
On fairness of systemic risk measures
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DOI: 10.1007/s00780-020-00417-4
Abstract: In our previous paper “A unified approach to systemic risk measures via acceptance sets” ( Mathematical Finance, 2018 ), we have introduced a general class of systemic risk measures that allow random allocations to individual… read more here.
Keywords: risk; systemic risk; finance; risk measures ... See more keywords
Systemic risk assessment through high order clustering coefficient
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DOI: 10.1007/s10479-020-03525-8
Abstract: In this article we propose a novel measure of systemic risk in the context of financial networks. To this aim, we provide a definition of systemic risk which is based on the structure, developed at… read more here.
Keywords: risk; order; risk assessment; systemic risk ... See more keywords
Early warning of systemic risk in global banking: eigen-pair R number for financial contagion and market price-based methods
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DOI: 10.1007/s10479-021-04120-1
Abstract: We analyse systemic risk in the core global banking system using a new network-based spectral eigen-pair method, which treats network failure as a dynamical system stability problem. This is compared with market price-based Systemic Risk… read more here.
Keywords: systemic risk; market price; risk; price ... See more keywords
An analysis of systemic risk in worldwide economic sentiment indices
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DOI: 10.1007/s10663-019-09464-3
Abstract: We investigate the temporal dynamics of correlations between sentiment indices worldwide. Employing the tools of Random Matrix Theory (RMT) and Principal Component Analysis (PCA), our paper aims to extract latent information embedded in the interactions… read more here.
Keywords: sentiment indices; systemic risk; sentiment; analysis systemic ... See more keywords
Financial Network Connectedness and Systemic Risk During the COVID-19 Pandemic
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DOI: 10.1007/s10690-021-09340-w
Abstract: The COVID-19 pandemic causes a huge number of infections. The outbreak of COVID-19 has not only caused substantial healthcare impacts, but also affected the world economy and financial markets. In this paper, we study the… read more here.
Keywords: risk; network; connectedness systemic; systemic risk ... See more keywords
Systemic risk governance in a dynamical model of a banking system
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DOI: 10.1007/s10898-019-00790-1
Abstract: We consider the problem of governing systemic risk in a banking system model. The banking system model consists in an initial value problem for a system of stochastic differential equations whose dependent variables are the… read more here.
Keywords: banking system; systemic risk; risk; time ... See more keywords
Systemic risk, real GDP growth, and sentiment
Sign Up to like & getrecommendations! Published in 2021 at "Review of Quantitative Finance and Accounting"
DOI: 10.1007/s11156-020-00952-3
Abstract: Using a mixed frequency VAR methodology, which can accommodate variables with different frequencies in a VAR framework, we model the relation between monthly systemic risk and real GDP growth. To identify the importance of business… read more here.
Keywords: risk; systemic risk; sentiment; gdp growth ... See more keywords