Have a personal or library account? Click to login
Measuring Systemic Risk in the Polish Banking System by Means of the Risk-Based Balance Sheets Method Cover

Measuring Systemic Risk in the Polish Banking System by Means of the Risk-Based Balance Sheets Method

Open Access
|Jul 2013

References

  1. Gapen, I. (2009). Evaluating the Implicit Guarantee to Fannie Mae and Freddie Mac Using Contingent Claims. In: Credit, Capital, Currency, and Derivatives: Instruments of Global Financial Stability or Crisis? International Finance Review. Vol. 10. DOI: 10.1108/S1569-3767(2009)0000010014.10.1108/S1569-3767(2009)0000010014
  2. Garcia, C., Gray, D., Luna, L. & Restrepo, J. (2010). Incorporating Financial Sector Risk intoMonetary Policy Models: Application to Chile. In: Financial Stability, Monetary Policyand Central Banking, R. Alfaro (Ed.). Santiago, Chile: Central Bank of Chile Book.
  3. Gątarek, D., Maksymiuk, M., Krysiak, R. & Witkowski, Ł. (2001). Modern method of financialrisk management. Warsaw: WIG-Press.
  4. Gray, D.F. & Malone, S. (2011). Macrofinancial Risk Analysis. Publisher John Wiley & Sons, ISBN: 978-0-470-05831-2.
  5. Gray, D.F. & Jobst, A.A. (2009). Higher Moments and Multivariate Dependence of ImpliedVolatilities from Equity Options as Measures of Systemic Risk. Global Financial Stability Report, Chapter 3, April (Washington: International Monetary Fund).
  6. Gray, D.F., Jobst, A.A. & Malone, S. (2010). Quantifying Systemic Risk and Reconceptualizing the Role of Finance for Economic Growth. Journal of Investment Management, Vol. 8, No. 2.
  7. Hull, J.C. (2003). Options, Futures and Other Derivatives. NJ: Prentice Hall, Upper Saddle River.
  8. Hull, J.C., Nelken, I. & White, A. (2003). Merton’s Model, Credit Risk, and Volatility Skews. University of Toronto.
  9. International Monetary Fund. (2009). Global Financial Stability Report: Responding to theFinancial Crisis and Measuring Systemic Risks. World Economic and Financial Surveys (International Monetary Fund: Washington, D.C.).
  10. International Monetary Fund. (2008). Global Financial Stability Report: Containing SystemicRisks and Restoring Financial Soundness. World Economic and Financial Surveys (International Monetary Fund: Washington, D.C.).
  11. MKMV. (2003). Modeling Default Risk. Moody’s KMV, Moody’s Analytics (www.mkmv. com).
  12. Schuermann, T., Pesaran, M.H., Treuler, B.J. & Weiner, S.M. (2006). Macroeconomic Dynamics and Credit Risk: A Global Perspective. Journal of Money, Credit and Banking, Vol. 38, No. 5, 1211-1262.
  13. Wójciak, M. & Wójcicka, A. (2007). Comparison of stock option modification Bystrom modelcredit risk assessment model MKMV. Dynamic econometric models. X Nationwide Seminar, September 4-6, 2007 in Torun.
DOI: https://doi.org/10.2478/v10031-012-0035-4 | Journal eISSN: 1898-0198 | Journal ISSN: 1730-4237
Language: English
Page range: 7 - 18
Published on: Jul 30, 2013
Published by: University of Szczecin
In partnership with: Paradigm Publishing Services
Publication frequency: 2 issues per year

© 2013 Renata Karkowska, published by University of Szczecin
This work is licensed under the Creative Commons License.