Reference List

A complete list of the most important articles and books in the systemic risk literature is provided below (please do not hesitate to contact us to enrich our collection of papers – from a basic introduction to the most advanced complex approaches developed in the field).

  1. Abergel F., B. Chakrabarti, A. Chakraborti and A. Ghosh, (2013), Econophysics of Systemic Risk and Network Dynamics. Springer, 298 pages.
    Cover / Where to find it
  2. Acemoglu D., A. Ozdaglar and A. Tahbaz-Salehi, (2015), “Systemic Risk and Stability in Financial Networks”, American Economic Review, 105(2), 564–608.
    Abstract / Where to find it
  3. Acemoglu D., A. Ozdaglar and A. Tahbaz-Salehi, (2015), “Networks, Shocks, and Systemic Risk”, NBER Working Paper #20931, 38 pages.
    Abstract / Where to find it
  4. Acharya V., (2009), “A Theory of Systemic Risk and Design of Prudential Bank Regulation”, Journal of Financial Stability, 5(3), 224-255.
    Abstract / Where to find it
  5. Acharya V., and A. Bisin, (2014), “Counterparty Risk Externality: Centralized versus Over-the-counter Markets”, Journal of Economic Theory, 149(1), 153-182.
    Abstract / Where to find it
  6. Acharya V., C. Brownlees, R. Engle, F. Farazmand and M. Richardson, (2013), “Measuring Systemic Risk”, in Managing and Measuring Risk: Emerging Global Standards and Regulation after the Financial Crisis, Roggi-Altman (eds.), World Scientific Series in Finance, 65-98.
    Cover / Where to find it
  7. Acharya V., R. Engle and D. Pierret, (2014), “Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights”, Journal of Monetary Economics, 65, 36–53.
    Abstract / Where to find it
  8. Acharya V. and O. Merrouche, (2013), “Precautionary Hoarding of Liquidity and Interbank Markets: Evidence from the Subprime Crisis”, Review of Finance, 17(1), 107–160.
    Abstract / Where to find it
  9. Acharya V and N. Mora, (2015), “Crisis of Banks as Liquidity Providers”, Journal of Finance, 70(1), 1-43.
    Abstract / Where to find it
  10. Acharya V. and T. Oncu, (2013), “A Proposal for the Resolution of Systemically Important Assets and Liabilities: The Case of the Repo Market”, International Journal of Central Banking, January 2013 issue, 59 pages.
    Abstract / Where to find it
  11. Acharya V., T. Philippon, M. Richardson , (2016), “Measuring Systemic Risk for Insurance Companies”, in The Economics, Regulation, and Systemic Risk of Insurance Markets, Hufeld-Koijen-Thimann (eds.), Oxford University Press, 100-123.
    Cover / Where to find it
  12. Acharya V., R. Engle and M. Richardson, (2012), “Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks”, American Economic Review, 102(3), 59-64.
    Abstract / Where to find it
  13. Acharya V., L. Pedersen, T. Philippon and M. Richardson, (2010), “Taxing Systemic Risk”, Chap. 5 in Regulating Wall Street: The Dodd Frank Act and the New Architecture of Global Finance, Acharya-Cooley-Richardson-Walter (eds.), John Wiley & Sons, 121-142.
    Cover / Where to find it
  14. Acharya V. and S. Steffen, (2013), “Analyzing Systemic Risk of the European Banking Sector”, in Handbook on Systemic Risk, Fouque-Langsam (eds.), Cambridge University Press, 247-282.
    Abstract / Where to find it
  15. Acharya V., and A. Thakor, (2015), “The Dark Side of Liquidity Creation: Leverage and Systemic Risk”, Working Paper No. 445/2015, European Corporate Governance Institute (ECGI), 58 pages.
    Abstract / Where to find it
  16. Adrian T. and N. Boyarchenko, (2013), “Liquidity Policies and Systemic Risk”, FRB of New York Staff Report No. 661, 44 pages.
    Abstract / Where to find it
  17. Adrian T. and M. Brunnermeier, (2016), “CoVaR”, American Economic Review, 106(7), 1705-1741.
    Abstract / Where to find it
  18. Adrian T. and H. Shin, (2014), "Procyclical Leverage and Value-at-Risk", Review of Financial Studies, 27(2), 373-403.
    Abstract / Where to find it
  19. Adrian T., D. Covitz and N. Liang, (2015), "Financial Stability Monitoring", Annual Review of Financial Economics, 7, 357-395.
    Abstract / Where to find it
  20. Adrian T., Z. Pozsar, A. Ashcraft and H. Boesky, (2013), "Shadow Banking", Economic Policy Review, 19(2), 1-16.
    Abstract / Where to find it
  21. Adrian T., M. Brunnermeier and H. Nguyen, (2013), "Hedge Fund Tail Risk", Chapter in NBER book Quantifying Systemic Risk, Haubrich-Lo (eds.), University of Chicago Press 155-172.
    Abstract / Where to find it
  22. Adrian T., P. Colla, and H.S. Shin, (2013), "Which Financial Frictions? Parsing the Evidence from the Financial Crisis of 2007-09", NBER Macroeconomics Annual 2012, Vol. 27, Acemoglu-Parker-Woodford (eds.), 159-214.
    Abstract / Where to find it
  23. Agarwal S., D. Lucca, A. Serru and F. Trebbi, (2014), “Inconsistent Regulators: Evidence from Banking”, Quarterly Journal of Economics, 129(2), 889–938.
    Abstract / Where to find it
  24. Ahelegbey D., M. Billio and R. Casarin, (2012), “Bayesian Graphical Models for Structural Vector Autoregressive Processes”, Finance and Economics Discussion Series #2015-059, Dept. of Economics, University Ca' Foscari of Venice, 28 pages.
    Abstract / Where to find it
  25. Aikman D., M. Kiley, S. Jung Lee, M. Palumbo and M. Warusawitharana, (2015), “Mapping Heat in the U.S. Financial System”, Working Paper #36/WP/2012, Board of Governors of the Federal Reserve System, Washington, 72 pages.
    Abstract / Where to find it
  26. Aiyar S., C. Calomiris and T. Wieladek, (2014), “Does Macro-Prudential Regulation Leak? Evidence from a UK Policy Experiment”, Journal of Money, Credit and Banking, 46(s1), 181-214.
    Abstract / Where to find it
  27. Aldasoro I. and I. Alves, (2015), “Multiplex Interbank Networks and Systemic Importance: An Application to European Data”, SAFE Working Paper #102, House of Finance, SAFE Goethe University of Frankfurt, 45 pages.
    Abstract / Where to find it
  28. Allen, F. and E. Carletti, (2013), “Systemic Risk from Real Estate and Macro-prudential Regulation”, International Journal of Banking, Accounting and Finance, 5(1/2), 28-48.
    Abstract / Where to find it
  29. Alentor A., E. Nier, J. Yang and T. Yorulmazer, (2008), “Network Models and Financial Stability”, Bank of England Working Paper No. 346 , 29 pages.
    Abstract / Where to find it
  30. Alter A., B. Craig and P. Raupach, (2015), “Centrality-based Capital Allocations”, Working paper, Federal Reserve Bank of Cleveland, 40 pages.
    Abstract / Where to find it
  31. Amini H., R. Cont and A. Minca, (2012), “Stress Testing the Resilience of Financial Networks”, International Journal of Theoretical and Applied Finance, (15)1, 1-20.
    Abstract / Where to find it
  32. Amini H., R. Cont and A. Minca, (2011), “Resilience to Contagion in Financial Networks”, forthcoming in Mathematical Finance, 40 pages.
    Abstract / Where to find it
  33. Amini H. and A. Minca, (2014), “Inhomogeneous Financial Networks and Contagious Links”, SSRN Working Paper, 28 pages.
    Abstract / Where to find it
  34. Amini H., D. Filipovic and A. Minca, (2014), “To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting”, Swiss Finance Institute Research Paper #14-63 , 18 pages.
    Abstract / Where to find it
  35. Amini H., A. Minca and A. Sulem, (2014), “Control of Interbank Contagion under Partial Information”, Working Paper, 26 pages.
    Abstract / Where to find it
  36. Amini H., D. Filipovic and A. Minca, (2014), “Systemic Risk with Central Counterparty Clearing”, Swiss Finance Institute Research Paper #13-34 , 32 pages.
    Abstract / Where to find it
  37. Anand K., S. Brennan, P. Gai, S. Kapadia and M. Willison, (2013), “A Network Model of Financial System Resilience”, Journal of Economic Behavior and Organization, 85, 219-235.
    Abstract / Where to find it
  38. Anand K., P. Gai, S. and M. Marsili, (2012), “Rollover Risk, Network Structure and Systemic Financial Crises”, Journal of Economic Dynamics and Control, 36(8), 1088-1100.
    Abstract / Where to find it
  39. Anand K., C. Gauthier and M. Souissi, (2015), “Quantifying Contagion Risk in Funding Markets: A Model-Based Stress-Testing Approach”, Working Paper #2015-32, Bank of Canada.
    Abstract / Where to find it
  40. Anand K. and M. Marsili (2013), “Financial Complexity and Systemic Stability in Trading Markets”, Chap. 17 in Lessons from the Financial Crisis, Arthur Berd (eds.), Risk Books, 335-372.
    Cover / Where to find it
  41. Anand A., M. Rosenstock and M. Trebilcock (2014), “Institutional Design and the New Systemic Risk in Banking Crises”, Working Paper, University of Toronto, 42 pages.
    Abstract / Where to find it
  42. Andreev A., A. Kanto and P. Malo, (2005), “On the Close Form Calculation of CVAR”, Working Paper #W389, Helsinky School of Economics, 9 pages.
    Abstract / Where to find it
  43. Andreev A. and A. Kanto, (2005), “Conditional Value-at-Risk Estimation using Non-integer Degrees of Freedom of Student’s t-Distribution”, Journal of Risk, 7(2), 55-62.
    Abstract / Where to find it
  44. Anokhina M., H. Penikas, and V. Petrov, (2014), “Identifying SIFI Determinants for Global Banks and Insurance Companies: Implications for D-SIFIs in Russia”, DEM Working Paper #85, 26 pages.
    Abstract / Where to find it
  45. Aoki K. and K. Nikolov, (2012), “Bubbles, banks and financial stability”, ECB Working Paper #1495, 52 pages.
    Abstract / Where to find it
  46. Arsov I., E. Canetti, L. Kodres and S. Mitra, (2013), “"Near-Coincident" Indicators of Systemic Stress”, IMF Working Paper #13/115, 33 pages.
    Abstract / Where to find it
  47. Artzner P., F. Delbaen, J.-M. Eber and D. Heath, (1999), “Coherent Measures of Risk”, Mathematical Finance, 9(3), 203-228.
    Abstract / Where to find it
  48. Banque de France, (2014), “Macroprudential Policies Implemention and Interactions”, Financial Stability Review, 18, 256 pages.
    Abstract / Where to find it
  49. Banulescu G.-D. and E.-I. Dumitrescu, (2012), “How to Identify the SIFI? A Component Expected Shortfall (CES) Approach to Systemic Risk”, forthcoming in Journal of Banking and Finance, 30 pages.
    Abstract / Where to find it
  50. Basel Committee on Banking Supervision, (2009), Revisions to the Basel II Market Risk Framework, Bank for International Settlements, 35 pages.
    Abstract / Where to find it
  51. Basel Committee on Banking Supervision, (2013a), “Basel III: The Liquidity Coverage Ratio and Liquidity Risk Monitoring Tools”, Bank for International Settlements Report, 75 pages.
    Abstract / Where to find it
  52. Basel Committee on Banking Supervision, (2013b), “Global Systemically Important Banks: Updated Assessment Methodology and the Higher Loss Absorbency Requirement”, Bank for International Settlements Report, 23 pages.
    Abstract / Where to find it
  53. Basel Committee on Banking Supervision, (2014a), “Basel III: Leverage Ratio Framework and Disclosure Requirements”, Bank for International Settlements Report, 23 pages.
    Abstract / Where to find it
  54. Basel Committee on Banking Supervision, (2014c), “Supervisory Framework for Measuring and Controlling Large Exposures - Final Standard”, Bank for International Settlements Report, 21 pages.
    Abstract / Where to find it
  55. Battiston S., J. Lorenz and F. Schweitzer, (2019), “Systemic Risk in a Unifying Framework for Cascading Processes on Networks”, European Physical Journal B, 71(4), 441-460.
    Abstract / Where to find it
  56. Basel Committee on Banking Supervision and Board of the International organization of Securities Commissions, (2013), “Margin Requirements for Non-centrally Cleared Derivatives”, Bank for International Settlements Report, 34 pages.
    Abstract / Where to find it
  57. Becker E., C. Rostásy and H. Willke, (2013), Systemic Risk: The Myth of Rational Finance and the Crisis of Democracy. Campus, 282 pages.
    Cover / Where to find it
  58. Benoit S., C. Hurlin and C. Pérignon, (2015), “Implied Risk Exposures”, Forthcoming in, Review of Finance, 53 pages.
    Abstract / Where to find it
  59. Benoit S., G. Colletaz, C. Hurlin and C. Pérignon, (2013), “A Theoretical and Empirical Comparison of Systemic Risk Measures”, Working Paper #FIN-2014-1030, HEC Paris, 47 pages.
    Abstract / Where to find it
  60. Benoit S., J.E. Colliard, C. Hurlin and C. Perignon, (2015), “Where the Risks Lie: A Survey on Systemic Risk”, HEC Paris Research Paper No. FIN-2015-1088 , 57 pages.
    Abstract / Where to find it
  61. Berkowitz J., (2001), “Testing Density Forecasts with Applications to Risk Management”, Journal of Business and Economics Statistics, 19(4), 465-474.
    Abstract / Where to find it
  62. Bernales A. and M. di Filippo, (2015), “The Information Contained in Money Market Interactions: Unsecured vs. Collateralized Lending”, Maintaining Financial Stability: Holding a Tiger by the Tail, Federal Reserve Bank of Atlanta conference, 15 pages.
    Abstract / Where to find it
  63. Bernanke B., (2013), “Stress Testing Banks: What Have We Learned?”, Maintaining Financial Stability: Holding a Tiger by the Tail, Federal Reserve Bank of Atlanta conference, 15 pages.
    Abstract / Where to find it
  64. Bernard C., E. Brechmann and C. Czado, (2012), "Statistical Assessments of Systemic Risk Measures”, Chap. 6 in Handbook on Systemic Risk, Fouque-Langsam (eds.), Cambridge University Press, 165-179.
    Abstract / Where to find it
  65. Betz F., N. Hautsch, T. Peltonen and M. Schienle, (2013), “Measuring Systemic Risk Contributions of European Banks”, ECB Financial Stability Review, 6, 71-73.
    Abstract / Where to find it
  66. Biais B., F. Heider and M. Hoerova, (2014), “Risk-sharing or Risk-taking? An Incentive Theory of Counterparty Risk, Clearing and Margins”, Working paper, 60 pages.
    Abstract / Where to find it
  67. Bianchi J. and E. Mendoza, (2013), “Optimal Time-Consistent Macroprudential Policy”, NBER Working Paper 19704, 61 pages.
    Abstract / Where to find it
  68. Billio M., M. Caporin, R. Panzica and L. Pelizzon, (2015), “Network Connectivity and Systematic Risk”, Working Paper, University Ca' Foscari Venezia, 43 pages.
    Abstract / Where to find it
  69. Billio M., R. Casarin, F. Ravazzolo and H. van Dijk, (2013), “Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-Switching VAR Model”, Working Paper #2013/20, Norges Bank, 47 pages.
    Abstract / Where to find it
  70. Billio M., M. Getmansky, D. Gray, A. Lo, R. Merton and L. Pelizzon, (2014), “Sovereign, Bank and Insurance Credit Spreads: Connectedness and System Networks”, SYRTO Working paper #8, 35 pages.
    Abstract / Where to find it
  71. Billio M., M. Getmansky, D. Gray, A. Lo, R. Merton and L. Pelizzon, (2013), “On a New Approach for Analyzing and Managing Macrofinancial Risks”, Financial Analysts Journal, 69(2), 22-23.
    Abstract / Where to find it
  72. Billio M., M. Getmansky, A. Lo and L. Pelizzon, (2012), “Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors”, Journal of Financial Economics, 104(3), 535-559.
    Abstract / Where to find it
  73. Bisias D., M. Flood, A. Lo and S. Valavanis, (2012), “A Survey of Systemic Risk Analytics”, Annual Review of Financial Economics 4, 255-296.
    Abstract / Where to find it
  74. Black L., R. Correa, X. Huang and H. Zou, (2016), “The Systemic Risk of European Banks During the Financial and Sovereign Debt Crises”, Journal of Banking & Finance, 63, 107-125.
    Abstract / Where to find it
  75. Bluhm M., E. Faia and J. Krahnen, (2013), “Endogenous Banks' Networks, Cascades and Systemic Risk”, Working Paper #12, SAFE, 78 pages.
    Abstract / Where to find it
  76. Boissel C, F. Derrien, E. Örs and D. Thesmar, (2014), “Systemic Risk in Clearing Houses: Evidence from the European Repo Market”, HEC Finance Department Working Paper, 52 pages.
    Abstract / Where to find it
  77. Borovkova S. and H. Lalaoui El Mouttalibi, (2013), “Systemic Risk and Centralized Clearing of OTC Derivatives: A Network Approach”, Working Paper, VU University Amsterdam, 56 pages.
    Abstract / Where to find it
  78. Boyle P. and J. Kim, (2012), “Designing a Counter-Cyclical Insurance Program for Systemic Risk”, Journal of Risk and Insurance, 79(4), 963-993.
    Abstract / Where to find it
  79. Boucher C., J. Daníelsson, P. Kouontchou and B. Maillet, (2014), “Risk Model-at-Risk”, Journal of Banking and Finance , 44, 72-92.
    Abstract / Where to find it
  80. Boucher C., P. Kouontchou, B. Maillet and O. Scaillet, (2013), “The Co-CoVaR and some other Fair Systemic Risk Measures with Model Risk Corrections”, Work in progress, 40 pages.
    Abstract / Where to find it
  81. Bowe M., O. Kolokolova and M.J. Michalski, (2016), “Systemic Risk, Interbank Market Contagion, and the Lender of Last Resort Function”, SSRN Working Paper, 39 pages.
    Abstract / Where to find it
  82. Brownlees C. and R. Engle, (2012), “Volatility, Correlation and Tails for Systemic Risk Measurement”, Working Paper, New-York University, 37 pages.
    Abstract / Where to find it
  83. Brunnermeier M. and P. Cheridito, (2013), “Measuring and Allocating Systemic Risk”, Working Paper, Princeton University, 20 pages.
    Abstract / Where to find it
  84. Brunnermeier M. and A. Krishnamurthy, (2013), "Risk Topography: Systemic Risk and Macro Modeling" University of Chicago Press, 288 pages.
    Cover / Where to find it
  85. Burns P., R. Engle and J. Mezrich, (1998), “Correlations and Volatilities of Asynchronous Data”, Journal of Derivatives, 5(4), 7-18.
    Abstract / Where to find it
  86. Busse M., M. Dacorogna and M. Kratz, (2013), “The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio”, ESSEC Working Paper #1321, 19 pages.
    Abstract / Where to find it
  87. Calabrese R. and P. Giudici, (2015), “Estimating Bank Default with Generalised Extreme Value Regression Models”, Journal of the Operational Research Society (2015), 1-10.
    Abstract / Where to find it
  88. Cao Z., (2013), “Multi-CoVaR and Shapley Value: A Systemic Risk Measure”, Working Paper, Banque de France, 28 pages.
    Abstract / Where to find it
  89. Capponi A. and W.A. Cheng, (2015), “The Incentives behind Clearinghouse Requirements”, SSRN Working Paper #2669304, 43 pages.
    Abstract / Where to find it
  90. Carmona R., J.-P. Fouque and L.-H. Sun, (2013), “Illiquidity and Insolvency: A Double Cascade Model of Financial Crises”, forthcoming in Communications in Mathematical Sciences, 23 pages.
    Abstract / Where to find it
  91. Casarin R., D. Sartore and M. Tronzano, (2013), “Bayesian Markov Switching Stochastic Correlation Models”, Working Paper #11/WP/2013, Department of Economics, University Ca' Foscari of Venice, 51 pages.
    Abstract / Where to find it
  92. Casarin R. and F. Squazzoni, (2013), “Being on the Field when the Game is Still Under Way. The Financial Press and Stock Markets in Times of Crisis”, Plos One, 8(7), 1-14.
    Abstract / Where to find it
  93. Castro C. and S. Ferarri, (2012), “Measuring and Testing for the Systematically Important Financial Institutions”, Working Paper #228, National Bank of Belgium, 55 pages.
    Abstract / Where to find it
  94. Cellai D., H. Cheng, T.R. Hurd and Q. Shao, (2014), “Illiquidity and Insolvency: A Double Cascade Model of Financial Crises”, SSRN Working Paper, 28 pages.
    Abstract / Where to find it
  95. Cerchiello P. and P. Giudici, (2015), “Conditional Graphical Models for Systemic Risk Estimation”, Expert Systems with Applications, published online on September 8, 2015.
    Abstract / Where to find it
  96. Chen J., M. Flood and R. Sowers, (2015), “Measuring the Unmeasurable: an Application of Uncertainty Quantification to financial Portfolios”, Working Paper #2015-19, Office of Financial Research, 23 pages.
    Abstract / Where to find it
  97. Chen K.H. and K. Khashanah, (2016), “Analysis of Systemic Risk: A Vine Copula-based ARMA-GARCH Model”, Engineering Letters, 24(3), 268-273.
    Abstract / Where to find it
  98. Colletaz G., C. Hurlin and C. Pérignon, (2013), “The Risk Map: A New Tool for Validating Risk Models”, Journal of Banking and Finance, 37(10), 3843-3854.
    Abstract / Where to find it
  99. Cooper R. and K. Nikolov, (2013), “Government Debt and Banking Fragility: the Spreading of Strategic Uncertainty”, NBER Working Paper #19278, 32 pages.
    Abstract / Where to find it
  100. Cont R., D. Duffie, P. Glasserman, C. Rogers and F. Vega-Redondo, (2016), “Preface to the Special Issue on Systemic Risk: Models and Mechanisms”, Operations Research, 64(5), 1053-1055.
    Abstract / Where to find it
  101. Cont R, A. Moussa and E.B. Santos, (2013), “Network Structure and Systemic Risk in Banking Systems”, in Handbook of Systemic Risk, Fouque-Langsam (eds.), Cambridge University Press, 327-368.
    Abstract / Where to find it
  102. Cont R. and L. Wagalath, (2011), “Running for the Exit: Distressed Selling and Endogenous Correlation in Financial Markets”, Mathematical Finance, (23)4, 718-741.
    Abstract / Where to find it
  103. Corradin S., S. Manganelli and B. Schwaab, (2011), "New Methodologies for Systemic Risk Measurement", Research Bulletin #12, European Central Bank, 19 pages.
    Abstract / Where to find it
  104. Corvasce G., (2013), "Measuring Systemic Risk: An International Framework", Working Paper, Society of Financial Studies, 68 pages.
    Abstract / Where to find it
  105. Craig B., D. Salakhovaz and M. Saldiasx (2014), “Payment Delays and Contagion”, Working Paper, Banque de France, 41 pages.
    Abstract / Where to find it
  106. Daníelsson J., K. James, M. Valenzuela and I. Zer, (2014), “Model Risk of Risk Models”, SRC Working Paper, 32 pages.
    Abstract / Where to find it
  107. Daníelsson J., H. Shin and J.-P. Zigrand, (2012), “Endogenous Extreme Events and the Dual Role of Prices”, Annual Review of Economics, 4(1), 111-129.
    Abstract / Where to find it
  108. Darolles S., S. Dubecq and C. Gourieroux, (2013),"Contagion Analysis in the Banking Sector", Working paper, 37 pages.
    Abstract / Where to find it
  109. Das S., D. Duffie, N. Kapadia and L. Saita, (2007), “Common Failings: How Corporate Defaults Are Correlated”, Journal of Finance, 62(1), 93-118.
    Abstract / Where to find it
  110. Das S. and R. Uppal, (2004), “International Portfolio Choice with Systemic Risk”, Journal of Finance, 59(6), 2809-2834.
    Abstract / Where to find it
  111. Davis E., (1995), Debt, Financial Fragility, and Systemic Risk. Oxford University Press, 404 pages.
    Cover / Where to find it
  112. de Bandt O. and P. Hartmann, (2000), "Systemic Risk: A Survey", ECB Working Paper #35, 77 pages.
    Abstract / Where to find it
  113. de Bandt O., P. Hartmann and J.-L. Peydro, (2012), "Systemic Risk in Banking; An Update" in Oxford Handbook of Banking, Berger-Molyneux-Wilson (eds.), Oxford University Press, 633-672.
    Cover / Where to find it
  114. de Bandt O., J.-C. Héam, C. Labonne and S. Tavolaro, (2015), “La mesure du risque systémique après la crise financière”, Revue Economique 3(66), 481-500.
    Abstract / Where to find it
  115. de Bodt E., F. Lobez and A. Schwienbacher, (2013), "Did the Euro Increase Systemic Risk?", Working Paper, 39 pages.
    Abstract / Where to find it
  116. de Bodt E., F. Lobez and A. Schwienbacher, (2013), "Did the Euro Increase Systemic Risk?", Working Paper, 39 pages.
    Abstract / Where to find it
  117. Derrien F. and A. Kecskès, (2013), “The Real Effects of Financial Shocks: Evidence from Exogenous Changes in Analyst Coverage”, The Journal of Finance, 68(4), 1407-1440.
    Abstract / Where to find it
  118. de Souza S.R.S., T.C. Silva, B.M. Tabak and S.M. Guerra, (2016), “Evaluating Systemic Risk Using Bank Default Probabilities in Financial Networks”, Journal of Economic Dynamics and Control 66(2016), 54-75.
    Abstract / Where to find it
  119. Drehmann M. and N. Tarashev, (2011), “Systemic Importance: Some Simple Indicators”, BIS Quarterly Review (March), 25-37.
    Abstract / Where to find it
  120. Duarte D., K. Lee and G. Schwenkler, (2015), “The Systemic Effects of Benchmarking”, SSRN Working Paper #2646791, 52 pages.
    Abstract / Where to find it
  121. Duarte F. and T. Eisenbach, (2013), “Fire-Sale Spillovers and Systemic Risk”, Federal Reserve Bank of New York Staff Reports #645, 46 pages.
    Abstract / Where to find it
  122. Duffie D., M. Scheicher and G. Vuillemey, (2014), “Central Clearing and Collateral Demand”, Working Paper #171, Rock Center for Corporate Governance, Stanford University, 39 pages.
    Abstract / Where to find it
  123. Duffie D., (2013), “Replumbing Our Financial System: Uneven Progress”, International Journal of Central Banking, 9(1), 251-280.
    Abstract / Where to find it
  124. Duffie D., (2013), “Systemic Risk Exposures: A 10-by-10-by-10 Approach”, forthcoming in Risk Topography: Systemic Risk and Macro Modeling, Brunnermeier-Krishnamurthy (eds.), University of Chicago Press, 11 pages.
    Abstract / Where to find it
  125. Duffie D., (2010), How Big Banks Fail and What to Do about It. Princeton University Press, 112 pages.
    Cover / Where to find it
  126. Eisenberg L. and T. Noe, (2001), “Systemic Risk in Financial Systems”, Management Science, 47(2), 236-249.
    Abstract / Where to find it
  127. Ellinas C., N. Allan and N. Cantle, (2015), “How Resilient Is Your Organization? From Local Failures to Systemic Risk”, 2015 Enterprise Risk Management Symposiumy, National Harbor, Maryland, 19 pages.
    Abstract / Where to find it
  128. Elsinger H., A. Lehar and M. Summer, (2006), “Systemically Important Banks: An Analysis for the European Banking System”, International Economics and Economic Policy, 3(1), 73-89.
    Abstract / Where to find it
  129. Emm E. and U. Ince, (2011), “Systemic Risk and Competition in OTC Derivatives Dealing: Evidence from Client Failures”, Managerial Finance, 37(12), 1161-1189.
    Abstract / Where to find it
  130. Engle R., E. Jondeau and M. Rockinger, (2014), “Systemic Risk in Europe”, forthcoming in Review of Finance, 55 pages.
    Abstract / Where to find it
  131. Engle R., E. Siriwardane, (2014), “Structural GARCH: The Volatility-Leverage Connection”, Working Paper, 65 pages.
    Abstract / Where to find it
  132. Escanciano J. and J. Olmo, (2009), “Specification Tests in Parametric Value-at-Risk Models”, in Financial Risks, Gouriéroux-Jeanblanc (eds), Economica, 49-62.
    Abstract / Where to find it
  133. Escanciano J. and J. Olmo, (2010), “Backtesting Parametric Value-at-Risk with Estimation Risk”, Journal of Business and Economic Statistics, 28(1), 36-51.
    Abstract / Where to find it
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