Keywords: ریسک سیستمیک; C32; G15; Conditional correlation; Contagion risk; Multivariate BEKK; Leverage effect; Nonparametric regression; Systematic risk; Systemic risk; Volatility spillover;
مقالات ISI ریسک سیستمیک (ترجمه نشده)
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Keywords: ریسک سیستمیک; C13; C32; G01; G11; Confidence intervals; Elliptical distributions; Efficient estimation; Global systematically important banks; Systemic risk; Risk management;
Keywords: ریسک سیستمیک; G21; C63; Systemic risk; Inter-bank lending; Contagion; Regulation; Network;
Keywords: ریسک سیستمیک; G21; H63; Marshall-Olkin distribution; Copula functions; Systemic risk; Financial crisis; Country risk; Sovereign default;
Keywords: ریسک سیستمیک; C46; C51; G01; G21; G28; Early warning; Dependence; Correlation; Co-movement; Systemic risk; Extreme value theory; Generalized extreme value; Entropy; Financial contagion; Macroprudential surveillance;
Keywords: ریسک سیستمیک; G21; H63; Bank bail out; Government budget; Systemic risk; Financial crisis;
Keywords: ریسک سیستمیک; G01; G13; G21; Contingent Claims Analysis; Systemic risk; Banking crises;
Keywords: ریسک سیستمیک; Shadow banking; Non-Bank financial corporations; Crisis; Systemic risk; Government guarantees; G01; G21; G23; G28;
Keywords: ریسک سیستمیک; Systemic risk; Macro-prudential policies; Effectiveness; Banking vulnerabilities; E43; E58; G18; G28;
Keywords: ریسک سیستمیک; G20; G21; Negative interest rates; Bank business model; Systemic risk; Unconventional monetary policy measures;
Keywords: ریسک سیستمیک; C43; E44; F45; G01; H63; Financial stress index; Systemic risk; Sovereign debt crisis; Spillover index;
Keywords: ریسک سیستمیک; Net stable funding ratio; Basel III; Systemic risk; Adjustment speedG20; G21; G28
Keywords: ریسک سیستمیک; Asset-backed commercial paper; Bank opacity; Financial crisis; Securitization; Systemic risk;
Keywords: ریسک سیستمیک; Systemic risk; Feedback; Financial accelerator; Financial network; Illiquidity spirals; Contagion;
Keywords: ریسک سیستمیک; Financial network; Systemic risk; Eisenberg–Noe model; Asset price contagion
Keywords: ریسک سیستمیک; Systemic risk; Multiplex networks; Cascades
Keywords: ریسک سیستمیک; G01; G10; G20Financial crisis; Liquidity risk; Systemic risk; Stress index; Multivariate GARCH
Keywords: ریسک سیستمیک; Market volatility; Asymmetric volatility; Leverage effect; Volatility feedback; Market stress; Financial stability; Systemic risk; Extreme volatility; Aggregate asset prices
Keywords: ریسک سیستمیک; G01; G10; G18; G20; G28; G38Model risk; Systemic risk; Value-at-Risk; Expected shortfall; Basel III
Keywords: ریسک سیستمیک; Systemic risk; Banking crises; Sovereign debt; Contagion; Financial institutionsG01; G21; G28; H63
Keywords: ریسک سیستمیک; Distortion measure; Copula functions; Systemic risk; Contagion
Modeling inter-country spatial financial interactions with Graphical Lasso: An application to sovereign co-risk evaluation
Keywords: ریسک سیستمیک; Regional financial contagion; Spatial conditional dependence; Systemic risk; Network dependence; C13; C51; C61; G01;
RiskRank: Measuring interconnected risk
Keywords: ریسک سیستمیک; E440; F300; G010; G150; C430; Systemic risk; Aggregation operators; Network analysis; Interconnected risk;
Stressed to the core: Counterparty concentrations and systemic losses in CDS markets
Keywords: ریسک سیستمیک; D85; G01; G13; G20; L14; Credit default swaps; Stress testing; Systemic risk; Financial networks; Counterparty exposure; Contagion;
Effect of banking and macroeconomic variables on systemic risk: An application of ÎCOVAR for an emerging economy
Keywords: ریسک سیستمیک; Systemic risk; CoVaR; Macroprudential regulation; Financial system; G18; G21; G32; E58;
Measuring systemic risk of the banking industry in China: A DCC-MIDAS-t approach
Keywords: ریسک سیستمیک; Systemic risk; CoVaR; Risk spillover; MIDAS; DCC-MIDAS-t;
A systemic risk analysis of Islamic equity markets using vine copula and delta CoVaR modeling
Keywords: ریسک سیستمیک; C51; C52; C58; G11; G17; Spillovers; Systemic risk; Conditional VaR; Copulas; Tail dependence;
Volatility co-movements and spillover effects within the Eurozone economies: A multivariate GARCH approach using the financial stress index
Keywords: ریسک سیستمیک; Financial crisis; Volatility spillover effects; Systemic risk; GARGH-BEKK model; C43; C58; G01; G15;
CoVaR of families of copulas
Keywords: ریسک سیستمیک; Copula; CoVaR; Risk measure; Singular measure; Systemic risk; Value-at-Risk;
Size is everything: Explaining SIFI designations
Keywords: ریسک سیستمیک; G01; G20; G28; Systemic risk; Interconnectedness; Systemic relevance; Financial stability;
Basel III capital surcharges for G-SIBs are far less effective in managing systemic risk in comparison to network-based, systemic risk-dependent financial transaction taxes
Keywords: ریسک سیستمیک; Basel III; Systemic risk; Resilience; Agent-based modeling; DebtRank; Banking regulation; D85; G01; G18; G21;
Are Islamic stock indexes exposed to systemic risk? Multivariate GARCH estimation of CoVaR
Keywords: ریسک سیستمیک; C31; C58; G12; Systemic risk; CoVaR; Islamic stock indexes; Hedging strategy;
Incentivizing resilience in financial networks
Keywords: ریسک سیستمیک; Systemic risk; Interbank networks; Insolvency cascades; Network formation; Matching markets; Transaction-specific tax; C78; D47; D85; G01; G18; G33;
Systemic risk and spatiotemporal dynamics of the consumer market of China
Keywords: ریسک سیستمیک; CPI; Correlation patterns; Complex network; Systemic risk;
Evaluating Value-at-Risk forecasts: A new set of multivariate backtests
Keywords: ریسک سیستمیک; Model risk; Multivariate backtesting; Value-at-Risk; Systemic risk; C52; C53; C58;
TENET: Tail-Event driven NETwork risk
Keywords: ریسک سیستمیک; G01; G18; G32; G38; C21; C51; C63; Systemic risk; Systemic risk network; Generalized quantile; Quantile single-index regression; Value at risk; CoVaR; Lasso;
Assessing financial stability: The Capital and Loss Assessment under Stress Scenarios (CLASS) model
Keywords: ریسک سیستمیک; G21; G17; G01; Capital; Bank; Stress testing; Systemic risk; Financial stability;
Bank ownership, financial segments and the measurement of systemic risk: An application of CoVaR
Keywords: ریسک سیستمیک; Systemic risk; CoVaR; Quantile regressions; Risk management; Foreign banks; C21; C53; G20; G21; G28;
Consolidation and systemic risk in the international insurance industry
Keywords: ریسک سیستمیک; G22; G01; G34Financial crises; Insurance industry; Systemic risk; Consolidation; Mergers
Systemic risk in European sovereign debt markets: A CoVaR-copula approach
Keywords: ریسک سیستمیک; Value at risk; Conditional value at risk; Systemic risk; Copulas; Eurozone debt crisisC58; G01; G23; G32
Capital account openness and early warning system for banking crises in G20 countries
Keywords: ریسک سیستمیک; G01; C23; G21; Banking crises; Capital account openness; Early warning system; Systemic risk; Panel logit regression;
Crossborder financial contagion to Germany: How important are OTC dealers?
Keywords: ریسک سیستمیک; Systemic risk; CDS spreads; Contagion; OTC dealer; G14; G21; G28;
Quantifying the impact of leveraging and diversification on systemic risk
Keywords: ریسک سیستمیک; C6; G1; G20; G28; Systemic risk; Leverage; Diversification;
Early warning systems and systemic banking crises in low income countries: A multinomial logit approach
Keywords: ریسک سیستمیک; C52; G21; G28; E58; Banking crises; Systemic risk; Early warning systems; Low income countries; Sub-Saharan Africa; Logit estimation; Financial regulation;
Leverage-induced systemic risk under Basle II and other credit risk policies
Keywords: ریسک سیستمیک; Leverage; Basle II; Systemic risk; Credit risk; Agent based model; Banking regulation;
Measuring and testing for the systemically important financial institutions
Keywords: ریسک سیستمیک; Systemic risk; SIFIs; Quantile regression; Stochastic dominance testC21; C58; G32
Why do some insurers become systemically relevant?
Keywords: ریسک سیستمیک; G22; G01; G34Financial crises; Insurance industry; Systemic risk
Mutual excitation in Eurozone sovereign CDS
Keywords: ریسک سیستمیک; C13; G12; CDS; Sovereign risk; Systemic risk; Jumps; Feedback; Hawkes processes; Mutually exciting processes; Impulse-response;
Measuring systemic risk-adjusted liquidity (SRL)-A model approach
Keywords: ریسک سیستمیک; C46; C51; G01; G13; G21; G28; G58; Systemic risk; Liquidity risk; Net Stable Funding Ratio (NSFR); Extreme value theory; Financial contagion; Macroprudential policy; Liquidity regulation;
Systemic risk measurement: Multivariate GARCH estimation of CoVaR
Keywords: ریسک سیستمیک; G11; G21; G32; G38; Value-at-Risk; Conditional Value-at-Risk; Systemic Risk; DCC model;