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2021 | OriginalPaper | Buchkapitel

Financial Econometrics and Systemic Risk

verfasst von : M. Hakan Eratalay

Erschienen in: Handbook of Research on Emerging Theories, Models, and Applications of Financial Econometrics

Verlag: Springer International Publishing

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Abstract

In this chapter, some of the many prominent and recent papers in the systemic risk literature are reviewed. In all these papers, financial econometrics methods are used whether to extract the connections between institutions or assets by analyzing the related data or to construct a measure of systemic risk. There are many published survey papers on systemic risk. However, there is still a gap for research whose focus is particularly on the econometric methods behind the calculation of systemic risk indicators. This chapter is an attempt to contribute to filling this gap.

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Vorheriges Kapitel Predicting the Tail Behavior of Financial Times Stock Exchange/Johannesburg Stock Exchange (FTSE/JSE) Closing Banking Indices: Extreme Value Theory Approach

Nächstes Kapitel Monetary Policy Shocks, Financial Heterogeneity, and Corporate Dynamic Investment Activity

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Figure 1 presents the number of research articles in different years containing the concept “systemic risk.”

A list of abbreviations and their meanings is given in Appendix.

March 3, 2014, is a date when there were large losses in Russian markets given the political tension related to the annexation of Crimea to Russian Federation.

Kritzman et al. (2011) also use principal components analysis to measure systemic risk.

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Titel: Financial Econometrics and Systemic Risk
verfasst von: M. Hakan Eratalay
Verlag: Springer International Publishing
Buch: Handbook of Research on Emerging Theories, Models, and Applications of Financial Econometrics
Print ISBN: 978-3-030-54107-1

Electronic ISBN: 978-3-030-54108-8

Copyright-Jahr: 2021
DOI: https://doi.org/10.1007/978-3-030-54108-8_3