Systemic risk (English Wikipedia)

Fischer, Tom (2014). "No-arbitrage pricing under systemic risk: Accounting for cross-ownership". Mathematical Finance. 24 (1): 97–124. arXiv:1005.0768. doi:10.1111/j.1467-9965.2012.00526.x. S2CID 153225655.
Karl, S.; Fischer, T. (2014). "Cross-ownership as a structural explanation for over- and underestimation of default probability". Quantitative Finance. 14 (6): 1031–1046 (Published online: 18 Nov 2013). arXiv:1301.6069. CiteSeerX 10.1.1.768.3101. doi:10.1080/14697688.2013.834377. S2CID 155177007.

atlantafed.org

Dwyyer, Gerald P. (2009-11-06). "What is systemic risk, anyway?". atlantafed.org. Retrieved 2024-02-14.

bankofengland.co.uk

Rethinking the Financial Network

books.google.com

Reto R. Gallati (2003-03-22). Risk management and capital adequacy. McGraw Hill Professional. ISBN 9780071425582. Retrieved 2008-09-18.

c4ce.com

"Systemic Risks in Projects" (PDF). Archived from the original (PDF) on 2008-04-14. Retrieved 2007-12-29.

cea.eu

CEA (June 2010) Insurance: a unique sector—Why Insurers Differ from Banks

crmpolicygroup.org

Containing Systemic Risk, CRMPG III, August 6, 2008

doi.org

Ilin, Thomas; Varga, Liz (2015). "The uncertainty of systemic risk". Risk Management. 17 (4): 240–275. doi:10.1057/rm.2015.15. S2CID 155209532..
Nacaskul, P. (2010) Systemic Import Analysis (SIA) – Application of Entropic Eigenvector Centrality (EEC) Criterion for a Priori Ranking of Financial Institutions in Terms of Regulatory-Supervisory Concern, with Demonstrations on Stylised Small Network Topologies and Connectivity Weights, 14 May 2010, Bank for International Settlements (BIS) Asian Research Financial Stability Network Workshop, 29 March 2012, Bank Negara Malaysia, Kuala Lumpur. SSRN 1618693. doi:10.2139/ssrn.1618693.
Nacaskul, P. & Sabborriboon, W. (2011) Systemic Risk – Identification, Assessment and Monitoring based on Eigenvector Centrality Analysis of Thai Interbank Connectivity Matrices, 27 December 2011. SSRN 2710476. doi:10.2139/ssrn.2710476.
Danielsson, J.; James, K.; Valenzuela, M.; Zer, I. (2016). "Can we prove a bank guilty of creating systemic risk? A minority report". Money Credit and Banking. 48 (4): 795–812. doi:10.1111/jmcb.12318.
Danielsson, J.; James, K.; Valenzuela, M.; Zer, I. (2016). "Model risk of risk models". Journal of Financial Stability. 23: 79–91. doi:10.1016/j.jfs.2016.02.002.
Low, Rand (2017-05-11). "Vine copulas: modelling systemic risk and enhancing higher-moment portfolio optimisation". Accounting & Finance. 58: 423–463. doi:10.1111/acfi.12274. ISSN 1467-629X.
Merton, R.C. (1974). "On the pricing of corporate debt: the risk structure of interest rates". Journal of Finance. 29 (2): 449–470. doi:10.1111/j.1540-6261.1974.tb03058.x. hdl:1721.1/1874.
Fischer, Tom (2014). "No-arbitrage pricing under systemic risk: Accounting for cross-ownership". Mathematical Finance. 24 (1): 97–124. arXiv:1005.0768. doi:10.1111/j.1467-9965.2012.00526.x. S2CID 153225655.
Karl, S.; Fischer, T. (2014). "Cross-ownership as a structural explanation for over- and underestimation of default probability". Quantitative Finance. 14 (6): 1031–1046 (Published online: 18 Nov 2013). arXiv:1301.6069. CiteSeerX 10.1.1.768.3101. doi:10.1080/14697688.2013.834377. S2CID 155177007.
Eisenberg, L.; Noe, T.H. (2001). "Systemic Risk in Financial Systems". Management Science. 47 (2): 236–249. doi:10.1287/mnsc.47.2.236.9835.
Suzuki, T. (2002). "Valuing Corporate Debt: The Effect of Cross-Holdings of Stock and Debt" (PDF). Journal of the Operations Research Society of Japan. 45 (2): 123–144. doi:10.15807/jorsj.45.123.
Cifuentes, R.; Ferrucci, G.; Shin, H. S. (2005). "Liquidity Risk and Contagion". Journal of the European Economic Association. 3 (2/3): 556–566. doi:10.1162/jeea.2005.3.2-3.556.
Acemoglu, D.; Ozdaglar, A.; Tahbaz-Salehi, A. (2015). "Systemic Risk and Stability in Financial Networks". American Economic Review. 105 (2): 564–608. doi:10.1257/aer.20130456. hdl:1721.1/100979. S2CID 7447939.
Glasserman, P.; Young, H. P. (2015). "How Likely Is Contagion in Financial Networks?" (PDF). Journal of Banking & Finance. 50: 383–399. doi:10.1016/j.jbankfin.2014.02.006.
Orlando, Giuseppe; Bufalo, Michele; Penikas, Henry; Zurlo, Concetta (2021-10-28), "Systemic Risk Regulation", Modern Financial Engineering, Topics in Systems Engineering, vol. 2, WORLD SCIENTIFIC, pp. 317–326, doi:10.1142/9789811252365_0021, ISBN 978-981-12-5235-8, S2CID 246342418, retrieved 2022-04-10

epfl.ch

cib.epfl.ch

R Cont, A Moussa and E. B. Santos (2013) Network structure and systemic risk in banking systems in: Handbook of Systemic Risk, Cambridge University Press, p 327-368.

europa.eu

bankingsupervision.europa.eu

Bank, European Central (19 May 2021). "ECB, Supervision Newsletter - Room for improving valuation risk management, May 2021". European Central Bank.
Bank, European Central (19 May 2021). "ECB, Supervision Newsletter - Room for improving valuation risk management, May 2021". European Central Bank.

esrb.europa.eu

"ESRB, Macroprudential implications of financial instruments in Levels 2 and 3 for accounting purposes, 2020" (PDF). European Systemic Risk Board.

genevaassociation.org

Systemic Risk in Insurance—An analysis of insurance and financial stability (2010) The Geneva Association

handle.net

hdl.handle.net

Merton, R.C. (1974). "On the pricing of corporate debt: the risk structure of interest rates". Journal of Finance. 29 (2): 449–470. doi:10.1111/j.1540-6261.1974.tb03058.x. hdl:1721.1/1874.
Acemoglu, D.; Ozdaglar, A.; Tahbaz-Salehi, A. (2015). "Systemic Risk and Stability in Financial Networks". American Economic Review. 105 (2): 564–608. doi:10.1257/aer.20130456. hdl:1721.1/100979. S2CID 7447939.

iaisweb.org

IAIS (June 2010) International Association of Insurance Supervisors (IAIS) position statement on key financial stability issues

independent.org

What is Systemic Risk

investopedia.com

"Learn How Systemic and Systematic Risk Are Both Threats to Investors".

mises.org

The Economics of Legal Tender Laws, Jorg Guido Hulsmann (includes detailed commentary on systemic risk inherent in FRB)

mit.edu

web.mit.edu

"Systemic risk and hedge funds" (PDF). Archived from the original (PDF) on 2007-02-26. Retrieved 2006-12-17.

newyorkfed.org

Systemic Risk: Relevance, Risk Management Challenges and Open Questions Archived 2009-03-05 at the Wayback Machine, Tom Daula

oenb.at

Elsinger, H. (2009). "Financial Networks, Cross Holdings, and Limited Liability". Working Paper 156, Oesterreichische Nationalbank, Wien.

orsj.or.jp

Suzuki, T. (2002). "Valuing Corporate Debt: The Effect of Cross-Holdings of Stock and Debt" (PDF). Journal of the Operations Research Society of Japan. 45 (2): 123–144. doi:10.15807/jorsj.45.123.

ox.ac.uk

economics.ox.ac.uk

Glasserman, P.; Young, H. P. (2015). "How Likely Is Contagion in Financial Networks?" (PDF). Journal of Banking & Finance. 50: 383–399. doi:10.1016/j.jbankfin.2014.02.006.

pciaa.net

Systemic Risk, Property Casualty Insurers Association of America
PCI Definition of Systemic Risk
Too Big to Fail, Property Casualty Insurers Association of America
PCI (2009) Systemic Risk Defined
Systemic Risk Focus
Addressing Systemic Risk

pmi.org

"Managing overall project risk".

psu.edu

citeseerx.ist.psu.edu

Karl, S.; Fischer, T. (2014). "Cross-ownership as a structural explanation for over- and underestimation of default probability". Quantitative Finance. 14 (6): 1031–1046 (Published online: 18 Nov 2013). arXiv:1301.6069. CiteSeerX 10.1.1.768.3101. doi:10.1080/14697688.2013.834377. S2CID 155177007.

riskresearch.org

Danielsson, J.; James, K.; Valenzuela, M.; Zer, I. (2016). "Can we prove a bank guilty of creating systemic risk? A minority report". Money Credit and Banking. 48 (4): 795–812. doi:10.1111/jmcb.12318.
Danielsson, J.; James, K.; Valenzuela, M.; Zer, I. (2016). "Model risk of risk models". Journal of Financial Stability. 23: 79–91. doi:10.1016/j.jfs.2016.02.002.

semanticscholar.org

api.semanticscholar.org

Ilin, Thomas; Varga, Liz (2015). "The uncertainty of systemic risk". Risk Management. 17 (4): 240–275. doi:10.1057/rm.2015.15. S2CID 155209532..
Fischer, Tom (2014). "No-arbitrage pricing under systemic risk: Accounting for cross-ownership". Mathematical Finance. 24 (1): 97–124. arXiv:1005.0768. doi:10.1111/j.1467-9965.2012.00526.x. S2CID 153225655.
Karl, S.; Fischer, T. (2014). "Cross-ownership as a structural explanation for over- and underestimation of default probability". Quantitative Finance. 14 (6): 1031–1046 (Published online: 18 Nov 2013). arXiv:1301.6069. CiteSeerX 10.1.1.768.3101. doi:10.1080/14697688.2013.834377. S2CID 155177007.
Acemoglu, D.; Ozdaglar, A.; Tahbaz-Salehi, A. (2015). "Systemic Risk and Stability in Financial Networks". American Economic Review. 105 (2): 564–608. doi:10.1257/aer.20130456. hdl:1721.1/100979. S2CID 7447939.
Orlando, Giuseppe; Bufalo, Michele; Penikas, Henry; Zurlo, Concetta (2021-10-28), "Systemic Risk Regulation", Modern Financial Engineering, Topics in Systems Engineering, vol. 2, WORLD SCIENTIFIC, pp. 317–326, doi:10.1142/9789811252365_0021, ISBN 978-981-12-5235-8, S2CID 246342418, retrieved 2022-04-10

ssrn.com

Schwarcz, Steven L. (2008). Systemic Risk. SSRN 1008326.
Boran, M. (2010). Market Dynamics & Systemic Risk. 23rd Australasian Finance and Banking Conference. SSRN 1620495.
Nacaskul, P. (2010) Systemic Import Analysis (SIA) – Application of Entropic Eigenvector Centrality (EEC) Criterion for a Priori Ranking of Financial Institutions in Terms of Regulatory-Supervisory Concern, with Demonstrations on Stylised Small Network Topologies and Connectivity Weights, 14 May 2010, Bank for International Settlements (BIS) Asian Research Financial Stability Network Workshop, 29 March 2012, Bank Negara Malaysia, Kuala Lumpur. SSRN 1618693. doi:10.2139/ssrn.1618693.
Nacaskul, P. & Sabborriboon, W. (2011) Systemic Risk – Identification, Assessment and Monitoring based on Eigenvector Centrality Analysis of Thai Interbank Connectivity Matrices, 27 December 2011. SSRN 2710476. doi:10.2139/ssrn.2710476.
Brownlees, C.T., Engle, R.F., 2010. Volatility, correlation and tails for systemic risk measurement, SSRN 1611229.
Engle, R.F., Jondeau, E., Rockinger, M., 2012. Systemic Risk in Europe. SSRN 2192536.

papers.ssrn.com

Manzo, Gerardo; Picca, Antonio (2018). "The Impact of Sovereign Shocks". Management Science, Forthcoming. SSRN 2524991.
Paolo Tasca; Stefano Battiston (2011-04-30). "Diversification and Financial Stability". SSRN 1878596.

uni-wuerzburg.de

statistik-mathematik.uni-wuerzburg.de

Fischer, Tom (2014). "Valuation in the structural model of systemic interconnectedness" (PDF). Presentation at the Frankfurt MathFinance Colloquium, November 27, 2014.

upenn.edu

finance.wharton.upenn.edu

Franklin Allen and Douglas Gale. "Systemic Risk and Regulation" (PDF). Retrieved 2008-09-18.

web.archive.org

Banking and currency crises and systemic risk, George G. Kaufman (World Bank), Internet Archive
Systemic Risk: Relevance, Risk Management Challenges and Open Questions Archived 2009-03-05 at the Wayback Machine, Tom Daula
"Systemic risk and hedge funds" (PDF). Archived from the original (PDF) on 2007-02-26. Retrieved 2006-12-17.
"Systemic Risks in Projects" (PDF). Archived from the original (PDF) on 2008-04-14. Retrieved 2007-12-29.

worldcat.org

search.worldcat.org

Low, Rand (2017-05-11). "Vine copulas: modelling systemic risk and enhancing higher-moment portfolio optimisation". Accounting & Finance. 58: 423–463. doi:10.1111/acfi.12274. ISSN 1467-629X.

worldscientific.com

Orlando, Giuseppe; Bufalo, Michele; Penikas, Henry; Zurlo, Concetta (2021-10-28), "Systemic Risk Regulation", Modern Financial Engineering, Topics in Systems Engineering, vol. 2, WORLD SCIENTIFIC, pp. 317–326, doi:10.1142/9789811252365_0021, ISBN 978-981-12-5235-8, S2CID 246342418, retrieved 2022-04-10

youtube.com

What is systemic risk? on YouTube