Matches in SemOpenAlex for { <https://semopenalex.org/work/W1982132355> ?p ?o ?g. }
Showing items 1 to 99 of
99
with 100 items per page.
- W1982132355 endingPage "358" @default.
- W1982132355 startingPage "341" @default.
- W1982132355 abstract "In this paper, we extend existing correlated default models for measuring systemic risk by proposing a model that incorporates an observable common factor that features conditional heteroscedasticity. The addition of the common factor helps to effectively capture realistic time-varying characteristics in individual asset return volatility as well as return correlations. We apply the model for large US financial institutions. The common factor proves its importance in explaining asset return dynamics and measuring systemic risk. We also apply the model in the context of systemic risk contribution analysis and show its applicability." @default.
- W1982132355 created "2016-06-24" @default.
- W1982132355 creator A5048184684 @default.
- W1982132355 date "2012-04-01" @default.
- W1982132355 modified "2023-09-27" @default.
- W1982132355 title "Measuring systemic risk: A factor-augmented correlated default approach" @default.
- W1982132355 cites W1883864030 @default.
- W1982132355 cites W1984522981 @default.
- W1982132355 cites W1987099129 @default.
- W1982132355 cites W1998959876 @default.
- W1982132355 cites W2022753826 @default.
- W1982132355 cites W2025006397 @default.
- W1982132355 cites W2046617081 @default.
- W1982132355 cites W2052902288 @default.
- W1982132355 cites W2060776057 @default.
- W1982132355 cites W2070108273 @default.
- W1982132355 cites W2074312449 @default.
- W1982132355 cites W2099541723 @default.
- W1982132355 cites W2102173527 @default.
- W1982132355 cites W2112035606 @default.
- W1982132355 cites W2118891973 @default.
- W1982132355 cites W2128937310 @default.
- W1982132355 cites W2700754280 @default.
- W1982132355 cites W3122080317 @default.
- W1982132355 cites W3122812694 @default.
- W1982132355 cites W3123129257 @default.
- W1982132355 cites W3123232430 @default.
- W1982132355 cites W3123574039 @default.
- W1982132355 cites W3123659985 @default.
- W1982132355 cites W3123686478 @default.
- W1982132355 cites W3124906560 @default.
- W1982132355 cites W3124981419 @default.
- W1982132355 cites W3125300592 @default.
- W1982132355 cites W3125356409 @default.
- W1982132355 cites W3125744792 @default.
- W1982132355 cites W3125772013 @default.
- W1982132355 cites W4231328821 @default.
- W1982132355 cites W4232246757 @default.
- W1982132355 cites W4254517832 @default.
- W1982132355 doi "https://doi.org/10.1016/j.jfi.2011.10.003" @default.
- W1982132355 hasPublicationYear "2012" @default.
- W1982132355 type Work @default.
- W1982132355 sameAs 1982132355 @default.
- W1982132355 citedByCount "16" @default.
- W1982132355 countsByYear W19821323552013 @default.
- W1982132355 countsByYear W19821323552014 @default.
- W1982132355 countsByYear W19821323552015 @default.
- W1982132355 countsByYear W19821323552016 @default.
- W1982132355 countsByYear W19821323552017 @default.
- W1982132355 countsByYear W19821323552018 @default.
- W1982132355 countsByYear W19821323552019 @default.
- W1982132355 countsByYear W19821323552022 @default.
- W1982132355 crossrefType "journal-article" @default.
- W1982132355 hasAuthorship W1982132355A5048184684 @default.
- W1982132355 hasConcept C101104100 @default.
- W1982132355 hasConcept C10879293 @default.
- W1982132355 hasConcept C139719470 @default.
- W1982132355 hasConcept C144587487 @default.
- W1982132355 hasConcept C149782125 @default.
- W1982132355 hasConcept C151730666 @default.
- W1982132355 hasConcept C162324750 @default.
- W1982132355 hasConcept C2778300220 @default.
- W1982132355 hasConcept C2779343474 @default.
- W1982132355 hasConcept C41008148 @default.
- W1982132355 hasConcept C86803240 @default.
- W1982132355 hasConcept C91602232 @default.
- W1982132355 hasConceptScore W1982132355C101104100 @default.
- W1982132355 hasConceptScore W1982132355C10879293 @default.
- W1982132355 hasConceptScore W1982132355C139719470 @default.
- W1982132355 hasConceptScore W1982132355C144587487 @default.
- W1982132355 hasConceptScore W1982132355C149782125 @default.
- W1982132355 hasConceptScore W1982132355C151730666 @default.
- W1982132355 hasConceptScore W1982132355C162324750 @default.
- W1982132355 hasConceptScore W1982132355C2778300220 @default.
- W1982132355 hasConceptScore W1982132355C2779343474 @default.
- W1982132355 hasConceptScore W1982132355C41008148 @default.
- W1982132355 hasConceptScore W1982132355C86803240 @default.
- W1982132355 hasConceptScore W1982132355C91602232 @default.
- W1982132355 hasIssue "2" @default.
- W1982132355 hasLocation W19821323551 @default.
- W1982132355 hasOpenAccess W1982132355 @default.
- W1982132355 hasPrimaryLocation W19821323551 @default.
- W1982132355 hasRelatedWork W1589470461 @default.
- W1982132355 hasRelatedWork W1855509809 @default.
- W1982132355 hasRelatedWork W1993181591 @default.
- W1982132355 hasRelatedWork W2129290140 @default.
- W1982132355 hasRelatedWork W2156213427 @default.
- W1982132355 hasRelatedWork W2924425189 @default.
- W1982132355 hasRelatedWork W2948398957 @default.
- W1982132355 hasRelatedWork W3123210546 @default.
- W1982132355 hasRelatedWork W3123797209 @default.
- W1982132355 hasRelatedWork W2170922682 @default.
- W1982132355 hasVolume "21" @default.
- W1982132355 isParatext "false" @default.
- W1982132355 isRetracted "false" @default.
- W1982132355 magId "1982132355" @default.
- W1982132355 workType "article" @default.