This paper discusses different definitions of systemic risk and identifies the challenges,
which regulators face in addressing this phenomenon. We conducted a systematic literature …

The aim of this paper is to construct the first comprehensive Financial Stress Index for
Lebanon, dubbed the IFEFSI (Institute of Financial Economics Financial Stress Index). This …

The aim of this paper is to assess the extent of geopolitical risk (GPR) on the Turkish
financial stability. Financial stability is calculated by constructing a New Financial Stress …

This study uses a structural threshold VAR model to study the nonlinear relationships
between oil and financial variables. The threshold effect is robust across models having …

The task of processing systemic events and its negative externalities requires approaches to
measure systemic risks and break it down into contributions of different institutions. The main …

In this paper we analyze whether a news-based measure of financial stress index (FSI) in
the US can predict West Texas Intermediate oil returns and (realized) volatility over the …

The analysis of the build-up of risks in emerging economies have traditionally been scarce
and focused mostly on external risks, despite the recent substantial development of their …

We develop a systemic risk indicator approach using a structural GARCH option-based
default risk framework incorporating volatility clustering, variance risk premiums, along with …

This paper makes an empirical investigation of the determinants of fragility in terms of long-
term fiscal sustainability and sovereign ratings for Brazil, India, Indonesia, South Africa and …

Objectif: Le but de l'étude est d'identifier l'impact de la pandémie COVID-19 sur la relation
entre les facteurs d'incertitudes (volatilité des marchés boursiers-maladies infectieuses …