Zobrazeno 1 - 10
of 27
pro vyhledávání: '"Vioto, Davide"'
Publikováno v:
In Research in International Business and Finance April 2024 69
Publikováno v:
In Research in International Business and Finance April 2024 69
Publikováno v:
In Journal of International Financial Markets, Institutions & Money December 2023 89
Publikováno v:
In Journal of Financial Markets September 2023 65
Publikováno v:
In Journal of Empirical Finance September 2023 73:107-133
Publikováno v:
In Journal of Financial Stability June 2023 66
Publikováno v:
In Journal of International Money and Finance February 2021 110
Autor:
Morelli, David, Vioto, Davide
Publikováno v:
In Journal of Financial Stability October 2020 50
In this study, we propose an implied forward-looking measure for systemic risk that employs the information from put option prices, the Systemic Options Value-at-Risk (SOVaR). This new measure can capture the buildup stage of systemic risk in the fin
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______206::e0beca77cca18babe225d1cdafba27b0
http://eprints.lse.ac.uk/118850/
http://eprints.lse.ac.uk/118850/
This paper contains a testing framework for the reliability of systemic risk measurement of banks, using the three leading market-based measures of systemic risk. We test whether the difference within the same category and across dfferent categories
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1687::cb5069a063c3f6f38d2fe0543ac8821d
https://hdl.handle.net/10419/212421
https://hdl.handle.net/10419/212421