Bank ownership, financial segments and the measurement of systemic risk: An application of CoVaR

Advances in financial risk management and economic policy uncertainty: An overview

“…forecasting value-at-risk using block structure multivariate stochastic volatility models (Asai, Caporin and McAleer, 2014), the time-varying causality between spot and futures crude oil prices: a regime switching approach (Balcilar, Gungor and Hammoudeh, 2014), a regimedependent assessment of the information transmission dynamics between oil prices, precious metal prices and exchange rates (Balcilar, Hammoudeh and Fru Asaba, 2014), a practical approach to constructing price-based funding liquidity factors (Bouwman, Buis, PieterseBloem and Tham, 2014), realized range volatility forecasting: dynamic features and predictive variables (Caporin and Velo, 2014), modelling a latent daily tourism financial conditions index (Chang, 2014), bank ownership, financial segments and the measurement of systemic risk: an application of CoVaR (Drakos and Kouretas, 2014), model-free volatility indexes in the financial literature: a review (Gonzalez-Perez, 2014), robust hedging performance and volatility risk in option markets: application to Standard and Poor's 500 and Taiwan index options (Han, Chang, Kuo and Yu, 2014), price cointegration between sovereign CDS and currency option markets in the financial crises of 2007-2013(Hui and Fong, 2014, whether zombie lending should always be prevented (Jaskowski, 2014), preferences of risk-averse and risk-seeking investors for oil spot and futures before, during and after the global financial crisis (Lean, McAleer and Wong, 2014), managing financial risk in Chinese stock markets: option pricing and modeling under a multivariate threshold autoregression (Li, Ng and Chan, 2014), managing systemic risk in The Netherlands (Liao, Sojli and Tham, 2014), mean-variance portfolio methods for energy policy risk management (Marrero, Puch and Ramos-Real, 2014), on robust properties of the SIML estimation of volatility under micro-market noise and random sampling (Misaki and Kunitomo, 2014), ALRIGHT: Asymmetric LaRge-Scale (I)GARCH with Hetero-Tails (Paolella and Polak, 2014), the economic fundamentals and economic policy uncertainty of Mainland China and their impacts on Taiwan and Hong Kong (Sin, 2014), prediction and simulation using simple models characterized by nonstationarity and seasonality 5 (Swanson and Urbach, 2014), and volatility forecast of stock indexes by model averaging using high frequency data (Wang and Nishiyama, 2014).…”

Assessing systemic risk and its determinants for advanced and major emerging economies: the case of ΔCoVaR

“…Bernal et al (2014) compare relative contribution of three segments of the financial sector (banking, insurance and other financial institutions) to the systemic risk in the USA and the Eurozone. Drakos and Kouretas (2015) conduct a similar analysis, focusing on foreign financial corporations' contribution to domestic systemic risk in the USA and the UK. On country level, Wing Fong and Wong (2012) use CoVaR to examine conditional risk relationships in the sovereign CDS market.…”

Financial Risk Measurement and Prediction Modelling for Sustainable Development of Business Entities Using Regression Analysis

“…A complex approach to risk measurement in financial management is described in the work of Chobot [4,5]. Except for well-known risk measures, including value at risk [6] or coherent and convex risk measures [7], there are many others methods that authors use to measure financial risks. Su and Furman [8] apply a form of multivariate Pareto distribution to measure financial risks.…”