Systemic risk measurement: bucketing global systemically important banks

DOI10.1007/S10436-021-00391-7MaRDI QIDQ2240678zbMATH OpenOpenAlexFDO

Authors Marina Brogi, Valentina Lagasio, Luca Riccetti

Publication date 4 November 2021

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

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s10436-021-00391-7

zbMATH Keywords

capital requirementsfinancial crisisfinancial regulationglobal systemically important bankssystemic risk

Mathematics Subject Classification ID

Financial networks (including contagion, systemic risk, regulation) (91G45)

Recommendations

• Measures of systemic risk
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• Analysis of the SRISK measure and its application to the Canadian banking and insurance industries
• Systemic risk measures

Cites work

• Application of the Merton model to estimate the probability of breaching the capital requirements under Basel III rules
• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• Quantitative risk management. Concepts, techniques and tools
• Systemic risk, financial markets, and performance of financial institutions
• Value-at-Risk Prediction: A Comparison of Alternative Strategies
• Where the risks lie: a survey on systemic risk

Cited in

(5)

• Analysis of the SRISK measure and its application to the Canadian banking and insurance industries
• Values-based and global systemically important banks: their stability and the impact of regulatory changes after the financial crisis on it
• Combining permutation tests to rank systemically important banks
• The equity risk posed by the too-big-to-fail banks: a Foster-Hart estimation
• Quantifying systemic risk: conditional interval risk measures and their applications

Describes a project that uses

Uses Software

• QRM

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