Qualified Financial Advisor – regulated by the AMF (registered CIF within the CNCIF; n° ORIAS: 13000399 - www.orias.fr)
Executive Head of Research - Professor in Financial Economics

References

You will find below some precise references of articles I came across during the preparation of my articles (come mainly from my papers and their reference lists, and from www.systemic-risk-hub.org, www.performance-metrics.eu, www.extreme-risk.ca and others...). Hope you will find it useful....


  1. Aas K. and G. Puccetti, (2014), "Bounds on Total Economic Capital: the DNB Case Study", Extremes 17(4), 693-715.
    Download and external links: Abstract / Where to find it
  2. Abergel F., B. Chakrabarti, A. Chakraborti and A. Ghosh, (2013), Econophysics of Systemic Risk and Network Dynamics. Springer, 298 pages.
    Download and external links: Cover / Where to find it
  3. Acemoglu D., A. Ozdaglar and A. Tahbaz-Salehi, (2013), “Systemic Risk and Stability in Financial Networks”, Working Paper #18727, National Bureau of Economic Research, 46 pages.
    Download and external links: Abstract / Where to find it
  4. Acharya V., (2009), “A Theory of Systemic Risk and Design of Prudential Bank Regulation”, Journal of Financial Stability 5(3), 224-255.
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  5. Acharya V., C. Brownlees, R. Engle, F. Farazmand and M. Richardson, (2013), “Measuring Systemic Risk”, in Managing and Measuring Risk: Emerging Global Standards and Regulation after the Financial Crisis, Roggi-Altman (eds.), World Scientific Series in Finance, 65-98.
    Download and external links: Cover / Where to find it
  6. Acharya V., R. Engle and D. Pierret, (2013), “Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights”, NBER Working Paper #18968, 45 pages.
    Download and external links: Abstract / Where to find it
  7. Acharya V., R. Engle and M. Richardson, (2012), “Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks”, American Economic Review 102(3), 59-64.
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  8. Acharya V., L. Pedersen, T. Philippon and M. Richardson, (2010), “Taxing Systemic Risk”, Chap. 5 in Regulating Wall Street: The Dodd Frank Act and the New Architecture of Global Finance, Acharya-Cooley-Richardson-Walter (eds.), John Wiley & Sons, 121-142.
    Download and external links: Cover / Where to find it
  9. Acharya V. and S. Steffen, (2013), “Analyzing Systemic Risk of the European Banking Sector”, in Handbook on Systemic Risk, Fouque-Langsam (eds.), Cambridge University Press, 247-282.
    Download and external links: Abstract / Where to find it
  10. Ackermann C., R. McEnally and D. Ravenscraft, (1999), “The Performance of Hedge Funds: Risk, Return, and Incentives”, Journal of Finance 54(3), 833-874.
    Download and external links: Abstract / Where to find it
  11. Admati A. and S. Ross, (1985), “Measuring Investment Performance in a Rational Expectations Equilibrium Model”, Journal of Business 58(1), 1-26.
    Download and external links: Abstract / Where to find it
  12. Adrian T. and M. Brunnermeier, (2011), “CoVaR”, Working Paper #17454, National Bureau of Statistics, 43 pages.
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  13. Aftalion F. and P. Poncet, (1991), “Les mesures de performance des OPCVM : problèmes et solutions”, Revue Banque 517, 582-588.
    Download and external links: Abstract / Where to find it
  14. Aftalion F. and P. Poncet, (2003), Les techniques de mesure de performance. Economica, 140 pages.
    Download and external links: Cover / Where to find it
  15. Ahelegbey D., M. Billio and R. Casarin, (2012), “Bayesian Graphical Models for Structural Vector Autoregressive Processes”, Working Paper #36/WP/2012, Dept. of Economics, University Ca' Foscari of Venice, 28 pages.
    Download and external links: Abstract / Where to find it
  16. Aït-Shahalia Y., J.A. Parker and M. Yogo, (2004), “Luxury Goods and the Equity Premium”, Journal of Finance 59, 2959-3004.
    Download and external links: Abstract / Where to find it
  17. Amin G.S. and H.M. Kat, (2003), “Hedge Fund Performance 1990-2000: Do the "Money Machines" Really add Value?”, Journal of Financial and Quantitative Analysis 38, 251-274.
    Download and external links: Abstract / Where to find it
  18. Amini H., R. Cont and A. Minca, (2012), “Stress Testing the Resilience of Financial Networks”, International Journal of Theoretical and Applied Finance 15(1), 1-20.
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  19. Amini H., R. Cont and A. Minca, (2011), “Resilience to Contagion in Financial Networks”, forthcoming in Mathematical Finance, 40 pages.
    Download and external links: Abstract / Where to find it
  20. Amini H. and A. Minca, (2014), “Inhomogeneous Financial Networks and Contagious Links”, SSRN Working Paper, 28 pages.
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  21. Amini H., D. Filipovic and A. Minca, (2014), “To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting”, Swiss Finance Institute Research Paper #14-63 , 18 pages.
    Download and external links: Abstract / Where to find it
  22. Amini H., A. Minca and A. Sulem, (2014), “Control of Interbank Contagion under Partial Information”, Working Paper, 26 pages.
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  23. Amini H., D. Filipovic and A. Minca, (2014), “Systemic Risk with Central Counterparty Clearing”, Swiss Finance Institute Research Paper #13-34 , 32 pages.
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  24. Anand K., S. Brennan, P. Gai, S. Kapadia and M. Willison, (2013), “A Network Model of Financial System Resilience”, Journal of Economic Behavior and Organization 85, 219-235.
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  25. Anand K., P. Gai, S. and M. Marsili, (2012), “Rollover Risk, Network Structure and Systemic Financial Crises”, Journal of Economic Dynamics and Control 36(8), 1088-1100.
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  26. Anand K. and M. Marsili, (2013), “Financial Complexity and Systemic Stability in Trading Markets”, Chap. 17 in Lessons from the Financial Crisis, Arthur Berd (eds.), Risk Books, 335-372.
    Download and external links: Abstract / Where to find it
  27. Anand A., M. Rosenstock and M. Trebilcock, (2014), “Institutional Design and the New Systemic Risk in Banking Crises”, Working Paper, University of Toronto, 42 pages.
    Download and external links: Abstract / Where to find it
  28. Andreev A., A. Kanto and P. Malo, (2005), “On the Close Form Calculation of CVAR”, Working Paper #W389, Helsinky School of Economics, 9 pages.
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  29. Andreev A. and A. Kanto, (2005), “Conditional Value-at-Risk Estimation using Non-integer Degrees of Freedom of Student’s t-Distribution”, Journal of Risk 7(2), 55-62.
    Download and external links: Abstract / Where to find it
  30. Ang, J.S. and J.H. Chua, (1979), “Composite Measures for the Evaluation of Investment Performance”, Journal of Financial and Quantitative Analysis 14, 361-384.
    Download and external links: Abstract / Where to find it
  31. Aoki K. and K. Nikolov, (2012), “Bubbles, banks and financial stability”, ECB Working Paper #1495, 52 pages.
    Download and external links: Abstract / Where to find it
  32. Arrow K.J., (1971) Essays in the Theory of Risk Bearing. Chicago, IL: Markham Publishing Co.
    Download and external links: Where to find it
  33. Arsov I., E. Canetti, L. Kodres and S. Mitra, (2013), “'Near-Coincident' Indicators of Systemic Stress”, IMF Working Paper #13/115, 33 pages.
    Download and external links: Abstract / Where to find it
  34. Artzner P., F. Delbaen, J.-M. Eber and D. Heath, (1999), “Coherent Measures of Risk”, Mathematical Finance 9, 203-228.
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  35. Bacon, C.R. (2008) Practical Portfolio Performance Measurement and Attribution. Chichester: Wiley.
    Download and external links: Cover / Where to find it
  36. Banque de France, (2014), “Macroprudential Policies Implemention and Interactions”, Financial Stability Review 18, 256 pages.
    Download and external links: Abstract / Where to find it
  37. Banulescu G.-D. and E.-I. Dumitrescu, (2012), “How to Identify the SIFI? A Component Expected Shortfall (CES) Approach to Systemic Risk”, forthcoming in Journal of Banking and Finance, 30 pages.
    Download and external links: Abstract / Where to find it
  38. Barberis N., M. Huang and T. Santos, (2001), “Prospect Theory and Asset Prices”, Quarterly Journal of Economics 116, 1-53.
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  39. Basel Committee on Banking Supervision, (2009), Revisions to the Basel II Market Risk Framework, Bank for International Settlements, 35 pages.
    Download and external links: Abstract / Where to find it
  40. Becker E., C. Rostásy and H. Willke, (2013), “Systemic Risk: The Myth of Rational Finance and the Crisis of Democracy”, Campus, 282 pages.
    Download and external links: Cover / Where to find it
  41. Benoit S., G. Colletaz, C. Hurlin and C. Pérignon, (2013), “A Theoretical and Empirical Comparison of Systemic Risk Measures”, Working Paper #FIN-2014-1030, HEC Paris, 47 pages.
    Download and external links: Abstract / Where to find it
  42. Berkowitz J., (2001), “Testing Density Forecasts with Applications to Risk Management”, Journal of Business and Economics Statistics 19(4), 465-474.
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  43. Bernard C., E. Brechmann and C. Czado, (2012), "Statistical Assessments of Systemic Risk Measures”, Chap. 6 in Handbook on Systemic Risk, Fouque-Langsam (eds.), Cambridge University Press, 165-179.
    Download and external links: Abstract / Where to find it
  44. Bernardo A.E. and O. Ledoit, (2000), “Gain, Loss, and Asset Pricing”, Journal of Political Economy 108, 144-172.
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  45. Betz F., N. Hautsch, T. Peltonen and M. Schienle, (2013), “Measuring Systemic Risk Contributions of European Banks”, ECB Financial Stability Review 6, 71-73.
    Download and external links: Abstract / Where to find it
  46. Biglova A., S. Ortobelli, S.T. Rachev and S. Stoyanov, (2004), “Different Approaches to Risk Estimation in Portfolio Theory”, Journal of Portfolio Management 31, 103-112.
    Download and external links: Abstract / Where to find it
  47. Billio M., R. Casarin, F. Ravazzolo and H. van Dijk, (2013), “Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-Switching VAR Model”, Working Paper #2013/20, Norges Bank, 47 pages.
    Download and external links: Abstract / Where to find it
  48. Billio M., M. Getmansky, D. Gray, A. Lo, R. Merton and L. Pelizzon, (2013), “Sovereign, Bank and Insurance Credit Spreads: Connectedness and System Networks”, Proceedings of the 12th International Conference on Credit Risk Evaluation, 30 pages.
    Download and external links: Abstract / Where to find it
  49. Billio M., M. Getmansky, A. Lo and L. Pelizzon, (2012), “Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors”, Journal of Financial Economics 104(3), 535-559.
    Download and external links: Abstract / Where to find it
  50. Bisias D., M. Flood, A. Lo and S. Valavanis, (2012), “A Survey of Systemic Risk Analytics”, Working Paper #0001, Office of Financial Research, 165 pages.
    Download and external links: Abstract / Where to find it
  51. Black F., (1972), “Capital Market Equilibrium with Restricted Borrowing”, Journal of Business 45, 444-455.
    Download and external links: Abstract / Where to find it
  52. Bluhm M., E. Faia and J. Krahnen, (2013), “Endogenous Banks' Networks, Cascades and Systemic Risk”, Working Paper #12, SAFE, 78 pages.
    Download and external links: Abstract / Where to find it
  53. Bollen N.P.B. and J.A. Busse, (2001), “On the Timing Ability of Mutual Fund Managers”, Journal of Finance 56, 1075-1094.
    Download and external links: Abstract / Where to find it
  54. Bollen, N.P.B. and J.A. Busse, (2004), “Short-Term Persistence in Mutual Fund Performance”, Review of Financial Studies 18, 569-597.
    Download and external links: Abstract / Where to find it
  55. Borovkova S. and H. Lalaoui El Mouttalibi, (2013), “Systemic Risk and Centralized Clearing of OTC Derivatives: A Network Approach”, Working Paper, VU University Amsterdam, 56 pages.
    Download and external links: Abstract / Where to find it
  56. Boyle P. and J. Kim, (2012), “Designing a Counter-Cyclical Insurance Program for Systemic Risk”, Journal of Risk and Insurance 79(4), 963-993.
    Download and external links: Abstract / Where to find it
  57. Boucher C., J. Daníelsson, P. Kouontchou and B. Maillet, (2013), “Risk Model-at-Risk”, forthcoming Working Paper, 48 pages.
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  58. Boucher C., P. Kouontchou, B. Maillet and O. Scaillet, (2013), “The Co-CoVaR and some other Fair Systemic Risk Measures with Model Risk Corrections”, Work in progress, 40 pages.
    Download and external links: Abstract / Where to find it
  59. Brennan M.J., (1970), “Taxes, Market Valuation and Corporate Financial Policy”, National Tax Journal 23, 417-427.
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  60. Briec W., K. Kerstens, and O. Jokung, (2007), “Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach”, Management Science 53, 135-149.
    Download and external links: Abstract / Where to find it
  61. Brown S.J. and W.N. Goetzmann, (1997), “Mutual Fund Styles”, Journal of Financial Economics 43, 373-399.
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  62. Brown S.J., M. Kang, F.H. In, and G. Lee, (2010), “Resisting the Manipulation of Performance Metrics: An Empirical Analysis of the Manipulation-Proof Performance Measure”, Working Paper, Monash University, 59 pages.
    Download and external links: Abstract / Where to find it
  63. Brownlees C. and R. Engle, (2012), “Volatility, Correlation and Tails for Systemic Risk Measurement”, Working Paper, New-York University, 37 pages.
    Download and external links: Abstract / Where to find it
  64. Brownlees C., E. Nualart and Y. Sun, (2014), “Realized Networks”, Working Paper, Barcelona GSE, 63 pages.
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  65. Brunnermeier M. and P. Cheridito, (2013), “Measuring and Allocating Systemic Risk”, Working Paper, Princeton University, 20 pages.
    Download and external links: Abstract / Where to find it
  66. Brunnermeier M. and A. Krishnamurthy, (2013), “Risk Topography: Systemic Risk and Macro Modeling”, University of Chicago Press, 288 pages.
    Download and external links: Where to find it
  67. Bucklew J.A., (1990), Large Deviation Techniques in Decision, Simulation, and Estimation. New York, NY: Wiley.
    Download and external links: Cover / Where to find it
  68. Burke G., (1994), “A Sharper Sharpe Ratio”, Futures 23, 56.
    Download and external links: Abstract / Where to find it
  69. Burns P., R. Engle and J. Mezrich, (1998), “Correlations and Volatilities of Asynchronous Data”, Journal of Derivatives 5(4), 7-18.
    Download and external links: Abstract / Where to find it
  70. Busse M., M. Dacorogna and M. Kratz, (2013), “The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio”, ESSEC Working Paper #1321, 19 pages.
    Download and external links: Abstract / Where to find it
  71. Cantaluppi, L. and R. Hug, (2000), “Efficiency Ratio: A New Methodology for Performance Measurement”, Journal of Investing 9, 19-25.
    Download and external links: Abstract / Where to find it
  72. Cao Z., (2013), “Multi-CoVaR and Shapley Value: A Systemic Risk Measure”, Working Paper, Banque de France, 28 pages.
    Download and external links: Abstract / Where to find it
  73. Caporin, M. and F. Lisi, (2011), “Comparing and Selecting Performance Measures using Rank Correlations”, Economics: The Open-Access, Open-Assessment E-journal 5, 31 pages.
    Download and external links: Abstract / Where to find it
  74. Carhart, M.M., (1997), “On Persistence in Mutual Fund Performance”, Journal of Finance 52, 57-82.
    Download and external links: Abstract / Where to find it
  75. Casarin R., D. Sartore and M. Tronzano, (2013), “Bayesian Markov Switching Stochastic Correlation Models”, Working Paper #11/WP/2013, Department of Economics, University Ca' Foscari of Venice, 51 pages.
    Download and external links: Abstract / Where to find it
  76. Casarin R. and F. Squazzoni, (2013), “Being on the Field when the Game is Still Under Way. The Financial Press and Stock Markets in Times of Crisis”, Plos One 8(7), 1-14.
    Download and external links: Abstract / Where to find it
  77. Castro C. and S. Ferarri, (2012), “Measuring and Testing for the Systematically Important Financial Institutions”, Working Paper #228, National Bank of Belgium, 55 pages.
    Download and external links: Abstract / Where to find it
  78. Cellai D., H. Cheng, T.R. Hurd and Q. Shao, (2014), “Illiquidity and Insolvency: A Double Cascade Model of Financial Crises”, SSRN Working Paper, 28 pages.
    Download and external links: Abstract / Where to find it
  79. Chauveau T., (2004), L'équilibre d'un marché financier. Paris: Hermes.
    Download and external links: Cover / Where to find it
  80. Chauveau T. and B. Maillet, (2000), “Deux nouvelles mesures de performance”, Documents de Travail de la Caisse des Dépôts et Consignations n°1997-03/FI.
    Download and external links: Where to find it
  81. Cogneau P. and G. Hübner, (2009a), “The (more than) 100 Ways to measure Portfolio Performance. Part 1: Standardized Risk-adjusted Measures”, Journal of Performance Measurement 13, 56-71.
    Download and external links: Abstract / Where to find it
  82. Cogneau P. and Hübner, G. (2009b) “The (more than) 100 Ways to measure Portfolio Performance. Part 2: Special Measures and Comparison”, Journal of Performance Measurement 14, 56-69.
    Download and external links: Abstract / Where to find it
  83. Coles J.L., N.D. Daniel, and F. Nardari, (2006), “Does the Choice of Model or Benchmark affect Inference in measuring Mutual Fund Performance?”, Working Paper, Arizona State University, 71 pages.
    Download and external links: Abstract / Where to find it
  84. Colletaz G., C. Hurlin and C. Pérignon, (2013), “The Risk Map: A New Tool for Validating Risk Models”, Journal of Banking and Finance 37(10), 3843-3854.
    Download and external links: Abstract / Where to find it
  85. Comer G., N. Larrymore, and J. Rodriguez, (2009), “Controlling for Fixed-Income Exposure in Portfolio Evaluation: Evidence from Hybrid Mutual Funds”, Review of Financial Studies 22, 481-507.
    Download and external links: Abstract / Where to find it
  86. Connor G. and R.A. Korajczyk, (1986), “Performance Measurement with the Arbitrage Pricing Theory: A New Framework for Analysis”, Journal of Financial Economics 15, 373-394.
    Download and external links: Abstract / Where to find it
  87. Cont R, A. Moussa and E.B. Santos, (2013), “Network Structure and Systemic Risk in Banking Systems”, in Handbook of Systemic Risk, Fouque-Langsam (eds.), Cambridge University Press, 327-368.
    Download and external links: Abstract / Where to find it
  88. Cont R. and L. Wagalath, (2011), “Running for the Exit: Distressed Selling and Endogenous Correlation in Financial Markets”, Mathematical Finance (23)4, 718-741.
    Download and external links: Abstract / Where to find it
  89. Cooper R. and K. Nikolov, (2013), “Government Debt and Banking Fragility: the Spreading of Strategic Uncertainty”, NBER Working Paper #19278, 32 pages.
    Download and external links: Abstract / Where to find it
  90. Cornell B., (1979), “Asymmetric Information and Portfolio Performance Measurement”, Journal of Financial Economics 7, 381-390.
    Download and external links: Abstract / Where to find it
  91. Corradin S., S. Manganelli and B. Schwaab, (2011), “New Methodologies for Systemic Risk Measurement”, Research Bulletin #12, European Central Bank, 19 pages.
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  92. Corvasce G., (2013), “Measuring Systemic Risk: An International Framework”, Working Paper, Society of Financial Studies, 68 pages.
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  93. Daníelsson J., K. James, M. Valenzuela and I. Zer, (2014), “Model Risk of Risk Models”, SRC Working Paper, 32 pages.
    Download and external links: Abstract / Where to find it
  94. Daníelsson J., H. Shin and J.-P. Zigrand, (2012), “Endogenous Extreme Events and the Dual Role of Prices”, Annual Review of Economics 4(1), 111-129.
    Download and external links: Abstract / Where to find it
  95. Darolles S., S. Dubecq and C. Gourieroux, (2013), "Contagion Analysis in the Banking Sector", Working Paper, 37 pages.
    Download and external links: Abstract / Where to find it
  96. Darolles S., C. Gourieroux and J. Jasiak, (2009), “L-performance with an Application to Hedge Funds”, Journal of Empirical Finance 16, 671-685.
    Download and external links: Abstract / Where to find it
  97. Davis E., (1995), Debt, Financial Fragility, and Systemic Risk. Oxford University Press, 404 pages.
    Download and external links: Cover / Where to find it
  98. de Bandt O. and P. Hartmann, (2000), “Systemic Risk: A Survey”, ECB Working Paper #35, 77 pages.
    Download and external links: Abstract / Where to find it
  99. de Bandt O., P. Hartmann and J.-L. Peydro, (2012), “Systemic Risk in Banking; An Update”, in Oxford Handbook of Banking, Berger-Molyneux-Wilson (eds.), Oxford University Press, 633-672.
    Download and external links: Cover / Where to find it
  100. de Bandt O., J.-C. Héam, C. Labonne and S. Tavolaro, (2013), “Measuring Systemic Risk in a Post-Crisis World”, Débats économiques et financiers #6, Autorité de Contrôle Prudentiel et de Résolution, 38 pages.
    Download and external links: Abstract / Where to find it
  101. de Bodt E., F. Lobez and A. Schwienbacher, (2013), "Did the Euro Increase Systemic Risk?", Working Paper, 39 pages.
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  102. Döring B., T. Hartmann-Wendels and C. Wewel, (2014), “Systemic Risk Measures and their Viability for Banking Supervision”, Working Paper, Department of Bank Management, University of Cologne, 50 pages.
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  103. Döring B., T. Hartmann-Wendels and C. Wewel, (2013), “What can Systemic Risk Measures Predict?”, Working Paper, Department of Bank Management, University of Cologne, 65 pages.
    Download and external links: Abstract / Where to find it
  104. Dowd K., (2000), “Adjusting for Risk: An Improved Sharpe Ratio”, International Review of Economics and Finance 9, 209-222.
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  105. Drehmann M. and N. Tarashev, (2011), “Systemic Importance: Some Simple Indicators”, BIS Quarterly Review (March), 25-37.
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  106. Duarte F. and T. Eisenbach, (2013), “Fire-Sale Spillovers and Systemic Risk”, Federal Reserve Bank of New York Staff Reports #645, 46 pages.
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  107. Duffie D., M. Scheicher and G. Vuillemey, (2014), “Central Clearing and Collateral Demand”, Working Paper #171, Rock Center for Corporate Governance, Stanford University, 39 pages.
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  108. Duffie D., (2013), “Replumbing Our Financial System: Uneven Progress”, Journal of Central Banking 9(1), 251-280.
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  109. Duffie D., (2013), “Systemic Risk Exposures: A 10-by-10-by-10 Approach”, forthcoming in Risk Topography: Systemic Risk and Macro Modeling, University of Chicago Press, 11 pages.
    Download and external links: Abstract / Where to find it
  110. Dybvig P.H. and S.A. Ross, (1985), “Differential Information and Performance Measurement using a Security Market Line”, Journal of Finance 40, 383-399.
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  111. Eisenberg L. and T. Noe, (2001), “Systemic Risk in Financial Systems”, Management Science 47(2), 236-249.
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  112. Elamir E.A.H and A.H. Seheult, (2003), “Trimmed L-moments”, Computational Statistics and Data Analysis 43, 299-314.
    Download and external links: Abstract / Where to find it
  113. Elsinger H., A. Lehar and M. Summer, (2006), “Systemically Important Banks: An Analysis for the European Banking System”, International Economics and Economic Policy 3(1), 73-89.
    Download and external links: Abstract / Where to find it
  114. Elton E.J. and M.J. Gruber, (1995), Modern Portfolio Theory and Investment Analysis. New York, NY: Wiley.
    Download and external links: Cover / Where to find it
  115. Emm E. and U. Ince, (2011), “Systemic Risk and Competition in OTC Derivatives Dealing: Evidence from Client Failures”, Managerial Finance 37(12), 1161-1189.
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  116. Engle R., E. Jondeau and M. Rockinger, (2014), “Systemic Risk in Europe”, forthcoming in Review of Finance, 55 pages.
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  117. Engle R. and E. Siriwardane, (2014), “Structural GARCH: The Volatility-Leverage Connection”, Working Paper, 65 pages.
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  118. Escanciano J. and J. Olmo, (2009), “Specification Tests in Parametric Value-at-Risk Models”, in Financial Risks, Gouriéroux-Jeanblanc (eds), Economica, 49-62.
    Download and external links: Abstract / Where to find it
  119. Escanciano J. and J. Olmo, (2010), “Backtesting Parametric Value-at-Risk with Estimation Risk”, Journal of Business and Economic Statistics 28(1), 36-51.
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  120. Escanciano J. and J. Olmo, (2011), “Robust Backtesting Test for Value-at-Risk”, Journal of Financial Econometrics 9(1), 132-161.
    Download and external links: Abstract / Where to find it
  121. Fama E.F., (1972), “Components of Investment Performance”, Journal of Finance 27, 551-567.
    Download and external links: Abstract / Where to find it
  122. Fama E.F. and K.R. French, (1993), “Common Risk Factors in the Returns on Stocks and Bonds”, Journal of Financial Economics 33, 3-56.
    Download and external links: Abstract / Where to find it
  123. Farinelli S. and L. Tibiletti, (2008), “Sharpe Thinking in Asset Ranking with One-sided Measures”, European Journal of Operational Research 185, 1542-1547.
    Download and external links: Abstract / Where to find it
  124. Farinelli S., M. Ferreira, D. Rossello, M. Thoeny, and L. Tibiletti, (2008), “Beyond Sharpe Ratio: Optimal Asset Allocation using Different Performance Ratios”, Journal of Banking & Finance 32, 2057-2063.
    Download and external links: Abstract / Where to find it
  125. Favre L. and J.-A. Galeano, (2002), “Mean-modified Value-at-Risk Optimization with Hedge Funds”, Journal of Alternative Investment 5, 21-25.
    Download and external links: Abstract / Where to find it
  126. Feng L., B. Li, B. Podobnik and Z. Zheng, (2012), “Changes in Cross-Correlations as an Indicator for Systemic Risk”, Scientific Reports, 2(888).
    Download and external links: Abstract / Where to find it
  127. Ferson W.E. and R.W. Schadt, (1996), “Measuring Fund Strategy and Performance in Changing Economic Conditions”, Journal of Finance 51, 425-461.
    Download and external links: Abstract / Where to find it
  128. Financial Stability Board, (2011), “Policy Measures to address Systemically Important Financial Institutions”, 4 pages.
    Download and external links: Abstract / Where to find it
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