Systemic Risk in Europe
By Eric Jondeau, Michael Rockinger. 2013
273 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/c7d341ddf3e75e817e4a9af27ff55d91863317a9
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In Economics and Econometrics
- Gangjin Wang
- Chi Xie
- Elena Dumitrescu
- Sullivan Hué
- Kaijian He
- H. Eugene Stanley
- Sessi Tokpavi
- Christophe Hurlin
In Finance
- Chi Xie
- Gangjin Wang
- Kaijian He
- H. Eugene Stanley
- Sessi Tokpavi
- Christophe Hurlin
- Elena Dumitrescu
- Ladislav Kristoufek
Citations in the corpus
- Where the Risks Lie: A Survey on Systemic Risk (2017, unknown): “36 Engle, Jondeau, and Rockinger (2015) use SRISK divided by the GDP of a country to sort domestic banks and identify domestic systemically important banks. ow nloaded from https://academ ic.oup.com /rof/article-abstract/21/1/109/2670094 by Erasm us U niversity R otterdam -”
- Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights (2014, unknown): “Engle et al. (2012) indicate that the total assets of large US banks would be between 40% and 60% larger under IFRS than under US GAAPs.”
- Extreme risk spillover network: application to financial institutions (2017, methodology): “MES) that are based on the systemic risk measures (SRISK) proposed by Acharya, Engle et al. (2012); Acharya, Pedersen et al.”
- Machine learning for credit scoring: Improving logistic regression with non-linear decision-tree effects (2021, background): “Regulators dislike this scenario, since the banking system becomes less resilient to financial crises and more exposed to systemic events if it is not enough capitalized (Engle, Jondeau, and Rockinger, 2015; Acharya, Pedersen, Philippon, and Richardson, 2017).”
- Transmission channels of systemic risk and contagion in the European financial network (2015, unknown): “…tests (Basel Committee on Banking Supervision 2011; European Banking Authority 2012), the contagion from the Lehman bankruptcy put at risk the stability of the European financial system, indicating that systemic risk has been enormously underestimated (Bartram et al. 2007; Engle et al. 2014).”