Banking System Stability

By Philipp Hartmann, Stefan Straetmans, Casper G. de Vries. 2007

215 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/dee0ca80c8726e10a485ce0cf15797663eede7bf

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In Finance

1. D. Oh
2. Andrew J. Patton
3. Yannan Sun
4. Haijun Li
5. Marco Rocco
6. Esther Ruiz
7. S. J. Koopman
8. André Lucas

Citations in the corpus

• Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads (2018, methodology): “A version of this measure was proposed in Hartmann, Straetmans, and de Vries (2006).”
• Extreme Value Theory for Finance: A Survey (2012, background): “As the latter issue is concerned, i.e. that of banking sector dependence, a relevant reference is represented by Hartmann et al. (2005), who study banking sector stability separately considering daily returns on stock prices (during the period 1992-2004) of two groups of 25 major banks of the U.S.…”
• Tail Dependence for Heavy-Tailed Scale Mixtures of Multivariate Distributions (2009, methodology): “It is possible to define and analyze tail dependence via copulas; however, the copula method’s effectiveness diminishes in higher dimensions and in the case of (1.1), where the copulas are Received 8 March 2007; revision received 14 September 2009.”