Measuring the systemic importance of interconnected banks
By Mathias Drehmann, Nikola Tarashev. 2013
270 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/96e0098b0797cbda4207025442c6988554ba3706
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Enrico Onali
- Giuseppe Torluccio
- Bernardina Algieri
- Nikola Tarashev
- Arturo Leccadito
- Mathias Drehmann
In Finance
- Enrico Onali
- Giuseppe Torluccio
- Bernardina Algieri
- Giovanni Cardillo
- Nikola Tarashev
- Arturo Leccadito
- Mathias Drehmann
Citations in the corpus
- Bank Networks: Contagion, Systemic Risk and Prudential Policy (2017, unknown): “Drehmann and Tarashev (2013) applied this concept to banking for the first time, and it was subsequently used by several authors. to systemic risk is computed conditional on a shock vector to the banking system.25”
- Systemic Importance: Some Simple Indicators (2011, background): “Systemic risk in our setup, ie risk to non-bank creditors, stems exclusively from bank defaults.”
- Does gender diversity on banks' boards matter? Evidence from public bailouts (2020, background): “This result is not unexpected because our sample is mainly composed of large EU banks, and it is also consistent with the previous literature arguing that Size is a rough indicator of bank systemic importance (Drehmann and Tarashev, 2013) because it is unable to capture the potential distress costs ”
- Assessing contagion risk from energy and non-energy commodity markets (2017, background): “Well-know examples of risk measures2 include: 1. the Systemic Risk (SRISK) Index (Acharya et al., 2010, 2012; Brownlees and Engle, 2017), 2. the Game theoretic “Shapley Value” (Drehmann and Tarashev, 2013; Tarashev et al., 2016), 3. the DCoVaR measure (Adrian and Brunnermeier, 2016).”
- An Overview of Macroprudential Policy Tools (2014, unknown): “Or some historically derived indicators of (excessive) procyclicality and systemic risks, e.g., a notion of a “credit gap,” can suggest specific dynamic provisioning surcharges (Drehmann et al. 2011).”