Handbook on Systemic Risk: Measuring Systemic Risk

By V. Acharya, Christian T. Brownlees, Robert F. Engle, Farhang Farazmand, Matthew Richardson. 2013

152 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/2f0b7c5ff69f8e0c15477270ac08518cfa082bcd

How researchers see this paper

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In Economics and Econometrics

1. Sailesh Tanna
2. Yun Luo
3. Stefano Giglio
4. Glauco De Vita

In Finance

1. Yun Luo
2. Glauco De Vita
3. Sailesh Tanna
4. Stefano Giglio

Citations in the corpus

• Financial openness, risk and bank efficiency: Cross-country evidence (2016, methodology): “Authors’ calculation using data from Bankscope Marginal Expected Shortfall (MES) A measure of a financial institution’s exposure to systemic risk as defined by Acharya et al. (2012).”
• Credit Default Swap Spreads and Systemic Financial Risk (2012, background): “5Acharya et al. (2010) and Adrian and Brunnermeier (2011) are recent examples of measures based on historical returns data. 6For example, Lehar (2005) and Gray et al. (2008) apply the Merton (1974) model to estimating joint default probabilities. 7Anderson (2009) underlines the differences between t”