Systemic risk in Europe: deciphering leading measures, common patterns and real effects

DOI10.1007/S10436-017-0310-3MaRDI QIDQ1744874zbMATH OpenOpenAlexFDO

Authors Mikhail Stolbov, Maria Shchepeleva

Publication date 20 April 2018

Published in Annals of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10436-017-0310-3

zbMATH Keywords

causalitycluster analysisindependent component analysispanel vector autoregressionsprincipal component analysissystemic risk

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial networks (including contagion, systemic risk, regulation) (91G45)

Recommendations

• Systemic risk in the European sovereign and banking system
• Systemic risk, financial markets, and performance of financial institutions
• Systemic risk measures
• Systemic risk measures and macroprudential stress tests: an assessment over the 2014 EBA exercise
• Measuring network systemic risk contributions: a leave-one-out approach

Cites work

• A new statistic and practical guidelines for nonparametric Granger causality testing
• scientific article; zbMATH DE number 3673370 (Why is no real title available?)
• scientific article; zbMATH DE number 3103174 (Why is no real title available?)
• Statistical inference in vector autoregressions with possibly integrated processes
• Systemic risk measures and macroprudential stress tests: an assessment over the 2014 EBA exercise
• The real consequences of financial stress
• Where the risks lie: a survey on systemic risk

Cited in

(11)

• Systemic risk, financial markets, and performance of financial institutions
• Monetary policy and long-run systemic risk-taking
• Systemic risk measures and macroprudential stress tests: an assessment over the 2014 EBA exercise
• Proper measures of connectedness
• Systemic risk in the European sovereign and banking system
• Systemic risk contagion in FX market: a frequency connectedness and network analysis
• Towards a generalized measure of systemic risk: systemic turbulence measure
• A compositional analysis of systemic risk in European financial institutions
• Data-Driven Approach for Systemic Risk: A Macroprudential Perspective
• The systemic risk-uncertainty-real economic activity nexus: what is beyond median estimation?
• \textit{Within} and \textit{between} systemic country risk. Theory and evidence from the sovereign crisis in Europe

Describes a project that uses

Uses Software

• pVAR
• FastICA

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