Abstract [eng] This article presents an analysis of the literature on systemic risk
measurement methods. Only the recent global crisis has particularly attracted the attention of …

The paper investigates causal relationships between systemic risk, economic policy
uncertainty and firm bankruptcies, conditional on global volatility proxied by the VIX index, in …

An understanding of the financial instability during financial crises is an important topic in
risk management. Market participants actively use risk indicators, such as the VIX in the US …

We propose to use a particular case of Kaniadakis' logarithm for the exploratory analysis of
compositional data following the Aitchison approach. The affine information geometry …

The concept of connectedness has been widely used in financial applications, in particular
for systemic risk detection. Despite its popularity, at the state of the art, a rigorous definition …

Предмет данного исследования—механизмы передачи системного риска между
финансовыми секторами разных стран. Цель работы состоит в определении …

In this paper, we study the role of systemic risk in predictions of macroeconomic shocks in
four major countries, namely the United States, Japan, South Korea, and China. We propose …

Systemic risk is a complex and multifaceted phenomenon that needs to be addressed from
different perspectives. In this work we propose a Compositional Data (CoDa) approach to …

We study the relationship between economic policy uncertainty and systemic risk for nine
European countries in January 2010–September 2016 by applying conventional Granger …

The study empirically assesses how macroprudential policy interacts with systemic risk,
industrial production, and monetary intervention on a global level from January 2006 to …