A Survey of Systemic Risk Analytics
By Marc L. Ross. 2014
187 citations recorded by the source corpus.
Subfields: Artificial Intelligence, Control and Systems Engineering, Management Information Systems
View Paper: https://www.semanticscholar.org/paper/6ee98cdd0c3fdc954f310f0f7960963d18b984fc
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Citations in the corpus
- An Overview of Macroprudential Policy Tools (2014, unknown): “…focused on the identification and measurement of systemic risks due to contagion and other spillovers in interbank and other financial markets (Bisias et al. 2012, and Adrian, Covitz, and Lang, 2013, reviews tools for financial system monitoring, as applied largely to the US; see Arsov et al.…”
- Systemic Risk and Bank Size (2018, unknown): “Bisias et al. (2012) provide a comprehensive summary, and emphasize that there is no single ‘‘pressure gauge” that can fully detect crises.”
- Systemic Risk and the Macroeconomy: An Empirical Evaluation (2016, unknown): “We refer readers to Appendix A and to Bisias et al. (2012) for additional detail.”
- Fire‐Sale Spillovers and Systemic Risk (2015, unknown): “When it comes to measures of systemic risk, we have what Bisias et al. (2012) call an “embarrasment of riches”. Since the financial crisis made apparent the need to understand systemic risk, more than thirty different ways to measure it have been proposed.27 To our knowledge, there are no systemic r”
- Assessing the Contribution of Banks, Insurance and Other Financial Services to Systemic Risk (2014, unknown): “A large number of systemic risk measures have been proposed in the literature (see Bisias et al., 2012 for a complete and comprehensive survey).”
- Where the Risks Lie: A Survey on Systemic Risk (2017, unknown): “There are also several general surveys on systemic risk: De Bandt and Hartmann (2002), updated in De Bandt, Hartmann, and Peydró (2012), is an early and comprehensive survey on the topic, Bisias et al. (2012) give a broad overview of how to quantify systemic risk, and Glasserman and Young (2015) foc”
- Banks’ Noninterest Income and Systemic Risk (2020, background): “Saunders and Walter (1994), DeYoung and Roland (2001), and Bisias et al. (2012) 6 Our nontraditional banking activities are similar to loan securitizations or syndications, where the bank does not own the entire loan (d < 1 in the Shleifer-Vishny model).”
- The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series (2014, unknown): “Bisias et al. (2012) summarized that the current approaches to measure systemic risk can be categorized as 1) tail measures, 2) contingent claims analysis, 3) network models and 4) dynamic stochastic macroeconomic models. Among these, the first approach is related to the cross-quantilogram and it me”
- Multiplex Interbank Networks and Systemic Importance: An Application to European Data (2016, unknown): “5For the most comprehensive summary of measures to date see Bisias et al. (2012).”