9
H index
9
i10 index
1167
Citations
| 9 H index 9 i10 index 1167 Citations RESEARCH PRODUCTION: 13 Articles 5 Papers RESEARCH ACTIVITY: 19 years (2000 - 2019). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/ple148 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Alfred Lehar. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Financial Intermediation | 2 |
Journal of Banking & Finance | 2 |
Working Papers Series with more than one paper published | # docs |
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Staff Working Papers / Bank of Canada | 2 |
Year | Title of citing document |
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2024 | A New Approach to Estimating Loss-Given-Default Distribution. (2020). Kevkhishvili, Rusudan ; Egami, Masahiko. In: Papers. RePEc:arx:papers:2009.00868. Full description at Econpapers || Download paper |
2024 | Optimal Clearing Payments in a Financial Contagion Model. (2021). Proskurnikov, Anton V ; Fracastoro, Giulia ; Calafiore, Giuseppe . In: Papers. RePEc:arx:papers:2103.10872. Full description at Econpapers || Download paper |
2023 | Modeling Inverse Demand Function with Explainable Dual Neural Networks. (2023). Feinstein, Zachary ; Amini, Hamed ; Mishra, Prerna ; Chen, Zihan ; Cao, Zhiyu. In: Papers. RePEc:arx:papers:2307.14322. Full description at Econpapers || Download paper |
2024 | Default Resilience and Worst-Case Effects in Financial Networks. (2024). Proskurnikov, Anton ; Fracastoro, Giulia ; Calafiore, Giuseppe. In: Papers. RePEc:arx:papers:2403.10631. Full description at Econpapers || Download paper |
2024 | Risk contagion in financial markets: A systematic review using bibliometric methods. (2024). Zhou, Yunyan ; Zhai, Lili ; Su, Fei ; Wang, Feifan ; Zhuang, Zixi. In: Australian Economic Papers. RePEc:bla:ausecp:v:63:y:2024:i:1:p:163-199. Full description at Econpapers || Download paper |
2023 | Interbank money market concerns and actors’ strategies—A systematic review of 21st century literature. (2023). Dugdale, Julie ; Reaidy, Paul J ; Madies, Philippe ; Alaeddini, Morteza. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:2:p:573-654. Full description at Econpapers || Download paper |
2023 | Ring-fencing in financial networks. (2023). Pang, Raymond Ka-Kay ; Bardoscia, Marco. In: Bank of England working papers. RePEc:boe:boeewp:1046. Full description at Econpapers || Download paper |
2024 | The impact of prudential regulations on the UK housing market and economy: insights from an agent-based model. (2024). Roventini, Andrea ; Popoyan, Lilit ; Napoletano, Mauro ; Hinterschweiger, Marc ; Carro, Adrian ; Bardoscia, Marco ; Uluc, Arzu. In: Bank of England working papers. RePEc:boe:boeewp:1066. Full description at Econpapers || Download paper |
2024 | The impact of prudential regulations on the UK housing market and economy: Insights from an agent-based model. (2024). Carro, Adrian ; Bardoscia, Marco ; Uluc, Arzu ; Roventini, Andrea ; Popoyan, Lilit ; Napoletano, Mauro ; Hinterschweiger, Marc. In: Working Papers. RePEc:cgs:wpaper:118. Full description at Econpapers || Download paper |
2023 | Macroprudential Regulation: A Risk Management Approach. (2023). van Wijnbergen, Sweder ; Dimitrov, Daniel. In: Working Papers. RePEc:dnb:dnbwpp:765. Full description at Econpapers || Download paper |
2024 | The determinants of systemic risk contagion. (2024). Erden, Lutfi ; Ozkan, Brahim ; Atasoy, Burak Sencer. In: Economic Modelling. RePEc:eee:ecmode:v:130:y:2024:i:c:s026499932300408x. Full description at Econpapers || Download paper |
2023 | Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation. (2023). Ma, Tiejun ; Xu, Huifu ; Wang, Wei. In: European Journal of Operational Research. RePEc:eee:ejores:v:306:y:2023:i:1:p:322-347. Full description at Econpapers || Download paper |
2023 | Does the default pecking order impact systemic risk? Evidence from Brazilian data. (2023). Silva, Thiago ; Rodrigues, Francisco Aparecido ; Michalak, Krzysztof ; Alexandre, Michel. In: European Journal of Operational Research. RePEc:eee:ejores:v:309:y:2023:i:3:p:1379-1391. Full description at Econpapers || Download paper |
2023 | Tail-event driven NETwork dependence in emerging markets. (2023). Yousaf, Imran ; Ali, Shoaib ; Yarovaya, Larisa ; Karim, Sitara ; Naeem, Muhammad Abubakr. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014122000887. Full description at Econpapers || Download paper |
2023 | Knowledge mapping of model risk in banking. (2023). Torluccio, Giuseppe ; Rimo, Giuseppe ; Cosma, Simona. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003162. Full description at Econpapers || Download paper |
2024 | Impact of climate risk on financial stability: Cross-country evidence. (2024). Sun, Haibo ; Men, Wenjiao ; He, Shuguang ; Liu, Zhonglu. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000280. Full description at Econpapers || Download paper |
2023 | Macro-prudential policy and systemic risk of real estate firms: Evidence from China. (2023). Kong, Dongmin ; Wang, Lijuan ; Li, Xiao-Lin. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pc:s1544612323008905. Full description at Econpapers || Download paper |
2024 | Network centrality and credit risk: A comprehensive analysis of peer-to-peer lending dynamics. (2024). Osterrieder, Jorg ; Baals, Lennart John ; Liu, Yiting ; Hadji-Misheva, Branka. In: Finance Research Letters. RePEc:eee:finlet:v:63:y:2024:i:c:s1544612324003386. Full description at Econpapers || Download paper |
2023 | The role of credit lines and multiple lending in financial contagion and systemic events. (2023). Mistrulli, Paolo Emilio ; Cappelletti, Giuseppe. In: Journal of Financial Stability. RePEc:eee:finsta:v:67:y:2023:i:c:s1572308923000414. Full description at Econpapers || Download paper |
2024 | Do interbank markets price systemic risk?. (2024). Siebenbrunner, Christoph ; Sigmund, Michael. In: Journal of Financial Stability. RePEc:eee:finsta:v:71:y:2024:i:c:s1572308924000081. Full description at Econpapers || Download paper |
2024 | Assessing the systemic risk impact of bank bail-ins. (2024). Trappl, Stefan ; Spitzer, Ralph ; Hafner-Guth, Martin ; Siebenbrunner, Christoph. In: Journal of Financial Stability. RePEc:eee:finsta:v:71:y:2024:i:c:s1572308924000147. Full description at Econpapers || Download paper |
2023 | Do world stock markets “jump” together? A measure of high-frequency volatility risk spillover networks. (2023). Liu, Xiao-Xing ; Zhou, Dong-Hai. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:88:y:2023:i:c:s1042443123001117. Full description at Econpapers || Download paper |
2023 | Scenario-free analysis of financial stability with interacting contagion channels. (2023). Farmer, Doyne J ; Wetzer, Thom ; Kleinnijenhuis, Alissa M ; Wiersema, Garbrand. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002643. Full description at Econpapers || Download paper |
2023 | The impact of macroprudential policy on inequality and implications for inclusive financial stability. (2023). Park, Sungmin ; Kim, Young-Han. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002965. Full description at Econpapers || Download paper |
2023 | Panic and propagation in 1873: A network analytic approach. (2023). Rousseau, Peter ; Ladley, Daniel. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:151:y:2023:i:c:s0378426623000699. Full description at Econpapers || Download paper |
2023 | Identification of systemically important financial institutions in a multiplex financial network: A multi-attribute decision-based approach. (2023). Wang, Qing Yun ; Ye, Tanglin ; Sun, Qian ; Jiang, Cheng. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:611:y:2023:i:c:s0378437123000018. Full description at Econpapers || Download paper |
2023 | Fair immunization and network topology of complex financial ecosystems. (2023). Markose, Sheri ; Manfredi, Sabato ; Giansante, Simone. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:612:y:2023:i:c:s0378437123000110. Full description at Econpapers || Download paper |
2023 | The effect of the disposal of non-performing loans on interbank liquidity risk in China: A cash flow network-based analysis. (2023). Shouyang, Wang ; Yahan, Wang ; Fangcheng, Tang ; Kun, Guo ; Jiajia, Liu. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:89:y:2023:i:c:p:105-119. Full description at Econpapers || Download paper |
2023 | The consequences of bank loan growth: Evidence from Asia. (2023). Vithessonthi, Chaiporn. In: International Review of Economics & Finance. RePEc:eee:reveco:v:83:y:2023:i:c:p:252-270. Full description at Econpapers || Download paper |
2023 | Are categorical EPU indices predictable for carbon futures volatility? Evidence from the machine learning method. (2023). Liang, Chao ; Huang, Dengshi ; Guo, Xiaozhu. In: International Review of Economics & Finance. RePEc:eee:reveco:v:83:y:2023:i:c:p:672-693. Full description at Econpapers || Download paper |
2023 | The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification. (2023). Caporin, Massimiliano ; Pelizzon, Loriana ; Panzica, Roberto ; Billio, Monica. In: International Review of Economics & Finance. RePEc:eee:reveco:v:84:y:2023:i:c:p:196-223. Full description at Econpapers || Download paper |
2023 | Measurement and prediction of systemic risk in China’s banking industry. (2023). Zhao, Yue ; Lee, Chien-Chiang ; Zhang, Xinsong. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002604. Full description at Econpapers || Download paper |
2024 | Systemic risk assessment using complex networks approach: Evidence from the Brazilian (re)insurance market. (2024). Guimares, Acassio Silva ; de Frana, Joo Vinicius. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pa:s0275531923001915. Full description at Econpapers || Download paper |
2023 | Understanding Systemic Risk Dynamics and Economic Growth: Evidence from the Turkish Banking System. (2023). Koseolu, Sinem Derindere. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:19:p:14209-:d:1247840. Full description at Econpapers || Download paper |
2023 | Micro-Prudential Regulation and Loan Monitoring. (2023). Nakata, Hiroyuki ; Instefjord, Norvald. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:63:y:2023:i:3:d:10.1007_s10693-021-00376-7. Full description at Econpapers || Download paper |
2023 | US National Banks and Local Economic Fragility. (2023). Gam, Yong Kyu ; Calice, Giovanni. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:63:y:2023:i:3:d:10.1007_s10693-022-00382-3. Full description at Econpapers || Download paper |
2023 | Systemic Risk: Bank Characteristics Matter. (2023). Piccotti, Louis R ; Mazumder, Sharif. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:64:y:2023:i:2:d:10.1007_s10693-022-00386-z. Full description at Econpapers || Download paper |
2023 | Are zombie firms really contagious? (Norbert Ernst, Michael Sigmund). (2023). Sigmund, Michael ; Ernst, Norbert. In: Working Papers. RePEc:onb:oenbwp:245. Full description at Econpapers || Download paper |
2023 | Built-in challenges within the supervisory architecture of the Eurozone. (2023). Dragomirescu-Gaina, Catalin ; Papadamou, Stephanos ; Leontitsis, Alexandros ; Philippas, Dionisis. In: Journal of Banking Regulation. RePEc:pal:jbkreg:v:24:y:2023:i:1:d:10.1057_s41261-021-00183-z. Full description at Econpapers || Download paper |
2023 | IRB Asset and Default Correlation: Rationale for the Macroprudential Mark-Ups to the IRB Risk-Weights. (2023). Penikas, Henry. In: Risk Management. RePEc:pal:risman:v:25:y:2023:i:1:d:10.1057_s41283-022-00109-7. Full description at Econpapers || Download paper |
2023 | DeepVaR: a framework for portfolio risk assessment leveraging probabilistic deep neural networks. (2023). Soldatos, John ; Kotios, Dimitrios ; Makridis, Georgios ; Fatouros, Georgios ; Kyriazis, Dimosthenis ; Filippakis, Michael. In: Digital Finance. RePEc:spr:digfin:v:5:y:2023:i:1:d:10.1007_s42521-022-00050-0. Full description at Econpapers || Download paper |
2023 | Macroprudential Regulation: A Risk Management Approach. (2023). Dimitrov, Daniel ; van Wijnbergen, Sweder. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20230002. Full description at Econpapers || Download paper |
2023 | Duality in Financial Networks. (2023). Herings, Jean-Jacques ; Borm, Peter ; Ketelaars, Martijn. In: Discussion Paper. RePEc:tiu:tiucen:26750293-9599-4e05-9ae1-85cb55a89166. Full description at Econpapers || Download paper |
2024 | The Characterization of Clearing Payments in Financial Networks. (2024). Herings, P. Jean-Jacques ; Borm, Peter ; Ketelaars, Martijn ; Herings, P. J. J., . In: Discussion Paper. RePEc:tiu:tiucen:e1e1e64f-022b-4206-b7b3-b4586bebb179. Full description at Econpapers || Download paper |
2023 | Duality in Financial Networks. (2023). Herings, Jean-Jacques ; Borm, Peter ; Ketelaars, Martijn. In: Other publications TiSEM. RePEc:tiu:tiutis:26750293-9599-4e05-9ae1-85cb55a89166. Full description at Econpapers || Download paper |
2024 | The Characterization of Clearing Payments in Financial Networks. (2024). Herings, P. Jean-Jacques ; Herings, P. J. J., ; Borm, Peter ; Ketelaars, Martijn. In: Other publications TiSEM. RePEc:tiu:tiutis:e1e1e64f-022b-4206-b7b3-b4586bebb179. Full description at Econpapers || Download paper |
2023 | Impact of bank regulation on risk of Islamic and conventional banks. (2023). Liu, Heng ; Hoque, Hafiz. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:1:p:1025-1062. Full description at Econpapers || Download paper |
2023 | The effect of Economic Policy Uncertainty on the credit risk of US commercial banks. (2023). Lobo, Julio ; Paulevianez, Jessica ; Ordencruz, Carmen. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:3:p:3420-3436. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2010 | Macroprudential Regulation and Systemic Capital Requirements In: Staff Working Papers. [Full Text][Citation analysis] | paper | 54 |
2015 | Emergency Liquidity Facilities, Signalling and Funding Costs In: Staff Working Papers. [Full Text][Citation analysis] | paper | 3 |
2016 | Macroprudential Policy: A Summary In: SPP Communique. [Full Text][Citation analysis] | article | 0 |
2015 | Macroprudential Policy: A Review In: SPP Research Papers. [Full Text][Citation analysis] | article | 42 |
2017 | Macroprudential policy: A review.(2017) In: Journal of Financial Stability. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 42 | article | |
2002 | GARCH vs. stochastic volatility: Option pricing and risk management In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 51 |
2005 | Measuring systemic risk: A risk management approach In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 234 |
2004 | Value-at-risk vs. building block regulation in banking In: Journal of Financial Intermediation. [Full Text][Citation analysis] | article | 26 |
2012 | Macroprudential capital requirements and systemic risk In: Journal of Financial Intermediation. [Full Text][Citation analysis] | article | 110 |
2006 | Using Market Information for Banking System Risk Assessment In: International Journal of Central Banking. [Full Text][Citation analysis] | article | 209 |
2005 | Using Market Information for Banking System Risk Assessment.(2005) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 209 | paper | |
2006 | Risk Assessment for Banking Systems In: Management Science. [Full Text][Citation analysis] | article | 399 |
2002 | Risk Assessment for Banking Systems.(2002) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 399 | paper | |
2019 | Imperfect Renegotiations in Interbank Financial Networks In: Management Science. [Full Text][Citation analysis] | article | 1 |
2006 | Systemically important banks: an analysis for the European banking system In: International Economics and Economic Policy. [Full Text][Citation analysis] | article | 27 |
2002 | A New Approach to Assessing the Risk of Interbank Loans In: Financial Stability Report. [Full Text][Citation analysis] | article | 7 |
2006 | Chinese Walls in German Banks In: Review of Finance. [Full Text][Citation analysis] | article | 4 |
2000 | ALTERNATIVE VALUE-AT-RISK MODELS FOR OPTIONS In: Computing in Economics and Finance 2000. [Full Text][Citation analysis] | paper | 0 |
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