Systemic risk tomography : signals, measurement and transmission channels /

In April 2010 Europe was shocked by the Greek financial turmoil. At that time, the global financial crisis, which started in the summer of 2007 and reached systemic dimensions in September 2008 with the Lehman Brothers' crash, took a new course. An adverse feedback loop between sovereign and ba...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Otros Autores: Billio, Monica (Editor ), Pelizzon, Loriana (Editor ), Savona, Roberto (Editor )
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Oxford : Elsevier Ltd. : ISTE Press - Elsevier, 2017.
Temas:
Financial risk > Mathematical models.
Financial risk management.
Macroeconomics > Econometric models.
Risque financier > Mod�eles math�ematiques.
Finances > Gestion du risque.
BUSINESS & ECONOMICS > Industries > General.
Financial risk management
Macroeconomics > Econometric models
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Systemic risk via dynamic correlations / Petros Dellaportas, Anastasios Plataniotis and Michalis K. Titsias
  • Systemic risk and financial interconnectedness: network measures and the impact of the indirect effect / Monica Billio, Michele Costola, Roberto Panzica and Loriana Pelizzon
  • Are critical slowing down indicators useful to detect financial crises? / Hayette Gatfaoui, Isabelle Nagot and Philippe de Peretti
  • Onset of financial instability studied via agent-based models / Yi-Fang Liu, J�rgen Vitting-Andersen and Philippe de Peretti
  • Score-driven systemic risk signaling for European sovereign bond yields and CDS spreads / Rutger-Jan Lange, Andr�e Lucas and Arjen Siegmann
  • Model-based business cycle and financial cycle decomposition for Europe and the United States / Siem Jan Koopman, Rutger Lit and Andr�e Lucas
  • Danger Zones for the financial system / Paolo Manasse, Roberto Savona and Marika Vezzoli
  • Risk monitoring systems in real-time based on dynamic factor models / Marcella Lucchetta
  • Policy lessons from systemic risk modeling and measurement / Arjen Siegmann.

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