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Showing 1 to 3 of 3 for “"SRISK"”.

  1. Topics in market microstructure, misconduct and systemic risk: an empirical analysis of the South African equity market

    Dube, Qobolwakhe ThomasAfrican Institute of Financial Markets and Risk Management2021

    … (MES) and conditional capital shortfall (SRISK), it is shown that banking institutions are collectively the largest contributors to systemic risk in the financial system. Surprisingly, further analysis reveals that despite the high levels of market concentration and interconnectedness, …

    cape-town Repository record

  2. Applications of Random Matrix Theory to Portfolio Management and Financial Networks

    Eterovic, NicolasUniversity of Essex2016

    … viz. the DCC-MES of Acharya et al. (2010), the SRISK of Acharya et al. (2012) and the DCC-ΔCoVaR of Adrian and Brunnermeier (2011).

    essex Repository record

  3. Essays on measuring systemic risk

    Konstantatos, Christoforos2020

    The present dissertation explores various approaches of measuring the systemic risk, identifying the systemic important banking institutions and exploring extreme equity price movements of euro area banking institutions. It consists three chapters focusing on U.S. and euro area banking …

    patras-thes Repository record