Measuring Systemic Risk-Adjusted Liquidity (SRL) - A Model Approach

SSRN Electronic Journal ◽

10.2139/ssrn.2242698 ◽

2012 ◽

Author(s):

Andreas A. Jobst

Keyword(s):

Systemic Risk ◽

Model Approach

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Measuring Systemic Risk-Adjusted Liquidity (SRL): A Model Approach

SSRN Electronic Journal ◽

10.2139/ssrn.2247219 ◽

2012 ◽

Author(s):

Andreas A. Jobst

Keyword(s):

Systemic Risk ◽

Model Approach

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Calculating Systemic Risk Capital Requirements: A Factor Model Approach

SSRN Electronic Journal ◽

10.2139/ssrn.2432947 ◽

2014 ◽

Author(s):

Panagiotis Avramidis ◽

Fotios Pasiouras

Keyword(s):

Systemic Risk ◽

Factor Model ◽

Capital Requirements ◽

Risk Capital ◽

Model Approach

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Systemic Contingent Claim Analysis – A Model Approach to Systemic Risk

Managing Risk in the Financial System ◽

10.4337/9780857933829.00015 ◽

2013 ◽

Cited By ~ 3

Author(s):

Dale F. Gray ◽

Andreas A. Jobst

Keyword(s):

Systemic Risk ◽

Contingent Claim ◽

Model Approach

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Systemic Risk of the Global Banking System - An Agent-Based Network Model Approach

Prague Economic Papers ◽

10.18267/j.pep.471 ◽

2014 ◽

Vol 23 (1) ◽

pp. 24-41 ◽

Cited By ~ 15

Author(s):

Tomáš Klinger ◽

Petr Teplý

Keyword(s):

Network Model ◽

Systemic Risk ◽

Banking System ◽

Agent Based ◽

Global Banking ◽

Model Approach

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Calculating systemic risk capital: A factor model approach

Journal of Financial Stability ◽

10.1016/j.jfs.2015.01.003 ◽

2015 ◽

Vol 16 ◽

pp. 138-150 ◽

Cited By ~ 12

Author(s):

Panagiotis Avramidis ◽

Fotios Pasiouras

Keyword(s):

Systemic Risk ◽

Factor Model ◽

Risk Capital ◽

Model Approach

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Systemic risk in market microstructure of crude oil and gasoline futures prices: A Hawkes flocking model approach

Journal of Futures Markets ◽

10.1002/fut.22048 ◽

2019 ◽

Vol 40 (2) ◽

pp. 247-275

Author(s):

Hyun Jin Jang ◽

Kiseop Lee ◽

Kyungsub Lee

Keyword(s):

Crude Oil ◽

Market Microstructure ◽

Systemic Risk ◽

Futures Prices ◽

Model Approach

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Measuring systemic risk-adjusted liquidity (SRL)—A model approach

Journal of Banking & Finance ◽

10.1016/j.jbankfin.2014.04.013 ◽

2014 ◽

Vol 45 ◽

pp. 270-287 ◽

Cited By ~ 16

Author(s):

Andreas A. Jobst

Keyword(s):

Systemic Risk ◽

Model Approach

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Systemic Risk in Central and Eastern European Banking and its Determinants. Merton Option Model Approach.

SSRN Electronic Journal ◽

10.2139/ssrn.2349017 ◽

2013 ◽

Author(s):

Renata Karkowska

Keyword(s):

Systemic Risk ◽

Eastern European ◽

European Banking ◽

Option Model ◽

Model Approach

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Measuring Systemic Risk-Adjusted Liquidity (SRL) — A Model Approach

SSRN Electronic Journal ◽

10.2139/ssrn.2242696 ◽

2012 ◽

Author(s):

Andreas A. Jobst

Keyword(s):

Systemic Risk ◽

Model Approach

Download Full-text

Measuring Systemic Risk-Adjusted Liquidity (SRL): A Model Approach

IMF Working Papers ◽

10.5089/9781475505597.001 ◽

2012 ◽

Vol 12 (209) ◽

pp. 1 ◽

Cited By ~ 6

Author(s):

Andreas Jobst ◽

Keyword(s):

Systemic Risk ◽

Model Approach

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