Towards a Generalized Measure of Systemic Risk: Systemic Turbulence Measure

DOI10.1007/978-3-030-15581-0_2zbMath1426.91304OpenAlexW2944605890MaRDI QIDQ5240112

Marta Karaś, Witold Szczepaniak

Publication date: 24 October 2019

Published in: Contemporary Trends and Challenges in Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-030-15581-0_2

zbMATH Keywords

Mahalanobis distancesystemic riskglobal financial crisissystemic turbulence measure

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Cites Work

• On the network topology of variance decompositions: measuring the connectedness of financial firms
• Where the Risks Lie: A Survey on Systemic Risk*
• Assessment of Systemic Risk in the Polish Banking Industry
• Measuring Systemic Risk with CoVaR Using a Stock Market Data Based Approach

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