Matches in SemOpenAlex for { <https://semopenalex.org/work/W3122024914> ?p ?o ?g. }
Showing items 1 to 57 of
57
with 100 items per page.
- W3122024914 abstract "The task of processing systemic events and its negative externalities requires approaches to measure systemic risks and break it down into contributions of different institutions. The main objective of the present paper is to estimate the systemic risk of European banks following the financial crisis of 2007. To do so, we estimate the systemic risk of a sample composed of 281 financial institutions grouped in 16 European countries during the period from January 01, 2006 to December 31, 2012. We use the Marginal Expected Shortfall (MES) to measure systemic risk. The empirical results show that the systemic risk supported by European banks is very high. Moreover, the contribution of financial institutions in the risk of their system is very important as a result of the high correlation between institution returns and market returns. This correlation is measured by DECO-GARCH (1,1) introduced for the first time to assess systemic risk of financial institutions. This high level of systemic risk prompted the international authorities to intervene, as is the case of the countries of the Euro zone, where the International Monetary Fund, the European Central Bank and the World Bank intervened but did not lead to a permanent solution to limit the accumulation of systemic risk." @default.
- W3122024914 created "2021-02-01" @default.
- W3122024914 creator A5019517837 @default.
- W3122024914 date "2017-11-28" @default.
- W3122024914 modified "2023-09-23" @default.
- W3122024914 title "Systemic Risk of European Financial Institutions: Estimation and Ranking by the Marginal Expected Shortfall" @default.
- W3122024914 hasPublicationYear "2017" @default.
- W3122024914 type Work @default.
- W3122024914 sameAs 3122024914 @default.
- W3122024914 citedByCount "0" @default.
- W3122024914 crossrefType "posted-content" @default.
- W3122024914 hasAuthorship W3122024914A5019517837 @default.
- W3122024914 hasConcept C10138342 @default.
- W3122024914 hasConcept C139719470 @default.
- W3122024914 hasConcept C144133560 @default.
- W3122024914 hasConcept C144587487 @default.
- W3122024914 hasConcept C162324750 @default.
- W3122024914 hasConcept C2778300220 @default.
- W3122024914 hasConcept C2779601481 @default.
- W3122024914 hasConcept C32896092 @default.
- W3122024914 hasConcept C5496284 @default.
- W3122024914 hasConcept C73283319 @default.
- W3122024914 hasConceptScore W3122024914C10138342 @default.
- W3122024914 hasConceptScore W3122024914C139719470 @default.
- W3122024914 hasConceptScore W3122024914C144133560 @default.
- W3122024914 hasConceptScore W3122024914C144587487 @default.
- W3122024914 hasConceptScore W3122024914C162324750 @default.
- W3122024914 hasConceptScore W3122024914C2778300220 @default.
- W3122024914 hasConceptScore W3122024914C2779601481 @default.
- W3122024914 hasConceptScore W3122024914C32896092 @default.
- W3122024914 hasConceptScore W3122024914C5496284 @default.
- W3122024914 hasConceptScore W3122024914C73283319 @default.
- W3122024914 hasOpenAccess W3122024914 @default.
- W3122024914 hasRelatedWork W1953011942 @default.
- W3122024914 hasRelatedWork W2013781779 @default.
- W3122024914 hasRelatedWork W2144086326 @default.
- W3122024914 hasRelatedWork W2155388289 @default.
- W3122024914 hasRelatedWork W2171362127 @default.
- W3122024914 hasRelatedWork W2181399846 @default.
- W3122024914 hasRelatedWork W2314853422 @default.
- W3122024914 hasRelatedWork W2382774680 @default.
- W3122024914 hasRelatedWork W2911246938 @default.
- W3122024914 hasRelatedWork W2953131313 @default.
- W3122024914 hasRelatedWork W3111860113 @default.
- W3122024914 hasRelatedWork W3121154656 @default.
- W3122024914 hasRelatedWork W3121813704 @default.
- W3122024914 hasRelatedWork W3122521322 @default.
- W3122024914 hasRelatedWork W3122975377 @default.
- W3122024914 hasRelatedWork W3124024577 @default.
- W3122024914 hasRelatedWork W3124142309 @default.
- W3122024914 hasRelatedWork W3124163487 @default.
- W3122024914 hasRelatedWork W3125350546 @default.
- W3122024914 hasRelatedWork W72613468 @default.
- W3122024914 isParatext "false" @default.
- W3122024914 isRetracted "false" @default.
- W3122024914 magId "3122024914" @default.
- W3122024914 workType "article" @default.