Can bank-specific variables predict contagion effects?

DOI10.1080/14697688.2017.1357974MaRDI QIDQ4555183zbMATH OpenOpenAlexFDO

Authors Christoph Siebenbrunner, Michael Sigmund, Stefan Kerbl

Publication date 19 November 2018

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2017.1357974

zbMATH Keywords

financial contagionfinancial stabilitysystemic risk

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Fundamental topics (basic mathematics, methodology; applicable to economics in general) (91B02) Credit risk (91G40) Statistical methods; risk measures (91G70)

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Cites work

• A survey of cross-validation procedures for model selection
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• Bank Runs, Deposit Insurance, and Liquidity
• Contagion in financial networks
• Does financial connectedness predict crises?
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• Financial Network Systemic Risk Contributions
• Modelling the emergence of the interbank networks
• Network models and financial stability
• Network topology of the interbank market
• No-arbitrage pricing under systemic risk: accounting for cross-ownership
• On the network topology of variance decompositions: measuring the connectedness of financial firms
• Overlapping portfolios, contagion, and financial stability
• Regressions by Leaps and Bounds
• Risk assessment for banking systems
• Risk trading, network topology and banking regulation
• Specification Tests in Econometrics
• Systemic risk in banking networks: advantages of ``tiered banking systems
• Systemic risk in financial systems
• Testing for a unit root in time series regression
• Testing for unit roots in heterogeneous panels.
• Testing the Error Components Model with Non-Normal Disturbances
• The impact of Basel III on financial (in)stability: an agent-based credit network approach
• The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
• The multiplex structure of interbank networks
• VALUING CORPORATE DEBT : THE EFFECT OF CROSS-HOLDINGS OF STOCK AND DEBT

Cited in

(2)

• Network tail risk estimation in the European banking system
• Forward-looking solvency contagion

Describes a project that uses

Uses Software

• plm

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