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Financial Econometrics and Systemic Risk

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Handbook of Research on Emerging Theories, Models, and Applications of Financial Econometrics

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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.

Permission to reuse was granted for all the figures and tables used in this chapter by the journals, which published the corresponding articles.

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Notes

  1. 1.

    Figure 1 presents the number of research articles in different years containing the concept “systemic risk.”

  2. 2.

    A list of abbreviations and their meanings is given in Appendix.

  3. 3.

    March 3, 2014, is a date when there were large losses in Russian markets given the political tension related to the annexation of Crimea to Russian Federation.

  4. 4.

    Kritzman et al. (2011) also use principal components analysis to measure systemic risk.

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Author information

Authors and Affiliations

  1. School of Economics and Business Administration, University of Tartu, Tartu, Estonia

    M. Hakan Eratalay

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  1. M. Hakan Eratalay
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Correspondence to M. Hakan Eratalay .

Editor information

Editors and Affiliations

  1. Faculty of Transportation and Logistics, Istanbul University, Avcilar/Istanbul, Turkey

    Burcu Adıgüzel Mercangöz

Appendix: List of Abbreviations

Appendix: List of Abbreviations

Abbreviation

Meaning

ACRA

Analytical Credit Rating Agency

ARMA

Autoregressive moving average

CCC-GARCH

Constant conditional correlation GARCH

CoVaR

Conditional Value at Risk

DCC-GARCH

Dynamic conditional correlations GARCH

GARCH

Generalized autoregressive conditional heteroscedasticity

GGM

Gaussian graphical model

GJR-GARCH

Glosten-Jagannathan-Runkle GARCH

HAC

Heteroscedasticity and autocorrelation consistent

RTSVX

Russian Volatility Index

SP100

Standard and Poor’s 100

VaR

Value at Risk

VAR

Vector autoregression

w.n.

White noise

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Eratalay, M.H. (2021). Financial Econometrics and Systemic Risk. In: Adıgüzel Mercangöz, B. (eds) Handbook of Research on Emerging Theories, Models, and Applications of Financial Econometrics. Springer, Cham. https://doi.org/10.1007/978-3-030-54108-8_3

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