Measuring and testing for the systemically important financial institutions

By Carlos Castro, Stijn Ferrari. 2012

147 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/2b9340f13cc008947ba9b6aef08113694a019d21

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In Finance

1. Mauro Bernardi
2. Ghislaine Gayraud
3. Lea Petrella

Citations in the corpus

• Bayesian Tail Risk Interdependence Using Quantile Regression (2015, background): “…2008; Kuester et al., 2006; Taylor, 2008; Gerlach et al., 2011; Chen et al., 2012a,b,c); recently Adrian and Brunnermeier (2011), Chao et al. (2012), Fan et al. (2013), Hautsch et al. (2014), Chao et al. (2012) and Castro and Ferrari (2014) considered the same approach to also calculate the CoVaR.”