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Volume 17, Issue 12

Quantitative Finance

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Quantitative Finance, Volume 17, Issue 12 (2017)

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Quantitative Finance, Volume 17, Issue 12 (2017)

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Vol 24, 2024 Vol 23, 2023 Vol 22, 2022 Vol 21, 2021 Vol 20, 2020 Vol 19, 2019 Vol 18, 2018 Volume 17, 2017 Vol 16, 2016 Vol 15, 2015 Vol 14, 2014 Vol 13, 2013 Vol 12, 2012 Vol 11, 2011 Vol 10, 2010 Vol 9, 2009 Vol 8, 2008 Vol 7, 2007 Vol 6, 2006 Vol 5, 2005 Vol 4, 2004 Vol 3, 2003 Vol 2, 2002 Vol 1, 2001

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Systemic Risk Analytics

Features

Article

An empirical method of calculating the term premium

Jessica James, Michael Leister & Christoph Rieger

Pages: 1783-1793

Published online: 24 Oct 2017

First Page PreviewforAn empirical method of calculating the term premium | Full Text | References | PDF (1.6 MB)

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Book review

Book Review

Financial Enterprise Risk Management

Riccardo Rebonato

Pages: 1795-1797

Published online: 10 Nov 2017

First Page PreviewforFinancial Enterprise Risk Management | Full Text | References | PDF (345.4 KB)

830 Views
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Free Access

Calendar

Page: 1799

Published online: 10 Nov 2017

CitationforCalendar | Full Text | PDF (39.2 KB)

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Book Review Editor

Applications sought for book review editor from 2018

Page: 1800

Published online: 10 Nov 2017

CitationforApplications sought for book review editor from 2018 | Full Text | PDF (393.6 KB)

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Foreword

Introduction

Special Issue of Quantitative Finance on ‘Systemic risk analytics’

Peter Sarlin & Tuomas Peltonen

Pages: 1803-1804

Published online: 10 Nov 2017

CitationforSpecial Issue of Quantitative Finance on ‘Systemic risk analytics’ | Full Text | References | PDF (125.2 KB)

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Free Access

Research Papers

Article

Can bank-specific variables predict contagion effects?

Christoph Siebenbrunner, Michael Sigmund & Stefan Kerbl

Pages: 1805-1832

Published online: 01 Sep 2017

AbstractforCan bank-specific variables predict contagion effects? | Full Text | References | PDF (796.9 KB)

460 Views
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Article

Financial networks and interconnectedness in an advanced emerging market economy

Ariel J. Sun & Jorge A. Chan-Lau

Pages: 1833-1858

Published online: 05 Oct 2017

AbstractforFinancial networks and interconnectedness in an advanced emerging market economy | Full Text | References | PDF (2.2 MB)

691 Views
12 CrossRef citations
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Article

Monitoring systemic risk in the hedge fund sector

Frank Hespeler & Giuseppe Loiacono

Pages: 1859-1883

Published online: 14 Sep 2017

AbstractforMonitoring systemic risk in the hedge fund sector | Full Text | References | PDF (4.1 MB)

525 Views
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Article

Multichannel contagion and systemic stabilisation strategies in interconnected financial markets

Antoaneta Sergueiva, V. L. Raju Chinthalapati, Thanos Verousis & Louisa Chen

Pages: 1885-1904

Published online: 20 Sep 2017

AbstractforMultichannel contagion and systemic stabilisation strategies in interconnected financial markets | Full Text | References | PDF (3.4 MB)

396 Views
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Article

Equity markets’ clustering and the global financial crisis

Carlos León, Geun-Young Kim, Constanza Martínez & Daeyup Lee

Pages: 1905-1922

Published online: 25 Aug 2017

AbstractforEquity markets’ clustering and the global financial crisis | Full Text | References | PDF (3.1 MB)

500 Views
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Article

Network reconstruction with UK CDS trade repository data

William Abel & Laura Silvestri

Pages: 1923-1932

Published online: 06 Sep 2017

AbstractforNetwork reconstruction with UK CDS trade repository data | Full Text | References | PDF (1.4 MB)

284 Views
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Article

Toward robust early-warning models: a horse race, ensembles and model uncertainty

Markus Holopainen & Peter Sarlin

Pages: 1933-1963

Published online: 20 Sep 2017

AbstractforToward robust early-warning models: a horse race, ensembles and model uncertainty | Full Text | References | PDF (659 KB)

802 Views
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Article

Dissecting the financial cycle with dynamic factor models

Christian Menden & Christian R. Proaño

Pages: 1965-1994

Published online: 08 Sep 2017

AbstractforDissecting the financial cycle with dynamic factor models | Full Text | References | PDF (2.6 MB)

467 Views
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Article

Sovereign risk in the Euro area: a multivariate stochastic process approach

Paolo Giudici & Laura Parisi

Pages: 1995-2008

Published online: 01 Sep 2017

AbstractforSovereign risk in the Euro area: a multivariate stochastic process approach | Full Text | References | PDF (399.5 KB)

281 Views
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Quantitative Finance (Vol.17, Iss.12, 2017)

Systemic Risk Analytics

Systemic Risk Analytics

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