Bubbles, financial crises, and systemic risk

MK Brunnermeier, M Oehmke - Handbook of the Economics of Finance, 2013 - Elsevier
This chapter surveys the literature on bubbles, financial crises, and systemic risk. The first
part of the chapter provides a brief historical account of bubbles and financial crisis. The …

Stress testing of financial systems: an overview of issues, methodologies, and FSAP experiences

W Blaschke, MT Jones, G Majnoni, MS Martinez Peria - 2001 - papers.ssrn.com
The paper has three objectives. After a general introduction to some of the concepts and
basic techniques of stress testing, the paper gives an overview of some of the conceptual …

CoVaR

T Adrian, MK Brunnermeier - 2011 - nber.org
We propose a measure for systemic risk: CoVaR, the value at risk (VaR) of the financial
system conditional on institutions being under distress. We define an institution's …

[BOOK][B] Value at risk: the new benchmark for managing financial risk

P Jorion - 2007 - thuvienso.hoasen.edu.vn
Since its original publication, Value at Risk has become the industry standard in risk
management. Now in its Third Edition, this international bestseller addresses the …

[BOOK][B] Risk management and financial institutions,+ Web Site

J Hull - 2012 - books.google.com
The essential guide to managing financial institution risk, fully revised and updated The
dangers inherent in the financial system make understanding risk management essential for …

[BOOK][B] Measuring market risk

K Dowd - 2007 - books.google.com
Fully revised and restructured, Measuring Market Risk, Second Edition includes a new
chapter on options risk management, as well as substantial new information on parametric …

CoVaR

A Tobias, MK Brunnermeier - The American Economic Review, 2016 - search.proquest.com
We propose a measure of systemic risk, Δ CoVaR, defined as the change in the value at risk
of the financial system conditional on an institution being under distress relative to its …

The most general methodology to create a valid correlation matrix for risk management and option pricing purposes

R Rebonato, P Jäckel - Available at SSRN 1969689, 2011 - papers.ssrn.com
We have presented two simple methods to produce a feasible (ie real, symmetric, and
positivesemidefinite) correlation matrix when the econometric one is either noisy …

Selecting copulas for risk management

E Kole, K Koedijk, M Verbeek - Journal of Banking & Finance, 2007 - Elsevier
Copulas offer financial risk managers a powerful tool to model the dependence between the
different elements of a portfolio and are preferable to the traditional, correlation-based …

Stress testing banks

T Schuermann - International Journal of Forecasting, 2014 - Elsevier
How much capital and liquidity does a bank need to support its risk taking activities? During
the recent (and still ongoing) financial crisis, answers to this question using standard …