Systemic risk in Europe: deciphering leading measures, common patterns and real effects

DOI10.1007/s10436-017-0310-3zbMath1462.62643OpenAlexW2765725752MaRDI QIDQ1744874

Maria Shchepeleva, Mikhail Stolbov

Publication date: 20 April 2018

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-017-0310-3

zbMATH Keywords

independent component analysisprincipal component analysiscausalitycluster analysissystemic riskpanel vector autoregressions

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial networks (including contagion, systemic risk, regulation) (91G45)

Related Items (2)

A compositional analysis of systemic risk in European financial institutions ⋮ Proper measures of connectedness

Uses Software

• FastICA
• pVAR

Cites Work

• Unnamed Item
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• The real consequences of financial stress
• A new statistic and practical guidelines for nonparametric Granger causality testing
• Statistical inference in vector autoregressions with possibly integrated processes
• Systemic risk measures and macroprudential stress tests: an assessment over the 2014 EBA exercise
• Where the Risks Lie: A Survey on Systemic Risk*

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