Financial Econometrics and Systemic Risk

Mustafa Eratalay ()

A chapter in Handbook of Research on Emerging Theories, Models, and Applications of Financial Econometrics, 2021, pp 65-91 from Springer

Abstract: 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.

Keywords: Systemic risk; Social networks; Gaussian graphical model; Correlations; Granger causality; Variance decompositions; ARMA-GARCH models; Value at risk; Expected shortfall; CoVaR; SRISK; NETS (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-54108-8_3

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DOI: 10.1007/978-3-030-54108-8_3

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