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1. Estimating systemic risk for non-listed Euro-area banks. (2024). Parisi, Laura ; Engle, Robert ; Pizzeghello, Riccardo ; Manganelli, Simone ; Emambakhsh, Tina.
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   RePEc:eee:finsta:v:75:y:2024:i:c:s1572308924001244.

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2. Financial stability policy and downside risk in stock returns. (2024). Yang, Jianlei.
   In: The North American Journal of Economics and Finance.
   RePEc:eee:ecofin:v:73:y:2024:i:c:s1062940824001219.

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3. Correlation scenarios and correlation stress testing. (2023). Packham, N ; Woebbeking, F.
   In: Journal of Economic Behavior & Organization.
   RePEc:eee:jeborg:v:205:y:2023:i:c:p:55-67.

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4. An empirical investigation of multiperiod tail risk forecasting models. (2023). Su, Xiaoman ; Qi, Shuyuan ; Zhang, Ning.
   In: International Review of Financial Analysis.
   RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000145.

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5. Differences in carbon risk spillovers with green versus traditional assets: Evidence from a full distributional analysis. (2023). Huang, Yingying ; Liu, Yang ; Duan, Kun ; Yan, Cheng.
   In: Energy Economics.
   RePEc:eee:eneeco:v:127:y:2023:i:pa:s0140988323005479.

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6. Modifying (M)CoVaR and constructing tail risk networks through analytic higher-order moments: Evidence from the global forex markets. (2022). A N M Salman, ; Ashari, Yeva ; Syuhada, Khreshna ; Hakim, Arief.
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7. Oil tail-risk forecasts: from financial crisis to COVID-19. (2022). Kuang, Wei.
   In: Risk Management.
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8. Estimating tail-risk using semiparametric conditional variance with an application to meme stocks. (2022). Daddona, Stefano ; Khanom, Najrin.
   In: International Review of Economics & Finance.
   RePEc:eee:reveco:v:82:y:2022:i:c:p:241-260.

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9. Portfolio risk and stress across the business cycle. (2022). Chakraborty, Sandip ; Kakani, Ram Kumar ; Sampath, Aravind.
   In: Journal of International Financial Markets, Institutions and Money.
   RePEc:eee:intfin:v:80:y:2022:i:c:s1042443122000993.

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10. Futures volatility forecasting based on big data analytics with incorporating an order imbalance effect. (2022). Zhang, Yongmin ; Cui, Tianxiang ; Ding, Shusheng.
    In: International Review of Financial Analysis.
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11. Return Based Risk Measures for Non-Normally Distributed Returns: An Alternative Modelling Approach. (2021). Murahwa, Yvonne T ; Samunderu, Eyden.
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12. Systemic-systematic risk in financial system: A dynamic ranking based on expectiles. (2021). Sanchis-Marco, Lidia ; Garcia-Jorcano, Laura.
    In: International Review of Economics & Finance.
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13. Analytic moments for GJR-GARCH (1, 1) processes. (2021). Lazar, Emese ; Alexander, Carol ; Stanescu, Silvia.
    In: International Journal of Forecasting.
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14. Risk Analysis of China Stock Market During Economic Downturns–Based on GARCH-VaR and Wavelet Transformation Approaches. (2021). Tang, Zijie ; Cui, Yiwen ; Li, Lei.
    In: Asian Economic and Financial Review.
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15. Risk spillovers between FinTech and traditional financial institutions: Evidence from the U.S.. (2020). Li, jianping ; Yao, Yinhong ; Zhu, Xiaoqian ; Casu, Barbara.
    In: International Review of Financial Analysis.
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16. Correlation and spillover effects between the US and international banking sectors: New evidence and implications for risk management. (2020). Tsuji, Chikashi.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:70:y:2020:i:c:s1057521919302224.

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17. A factor-model approach for correlation scenarios and correlation stress testing. (2019). Packham, N ; Woebbeking, C F.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:101:y:2019:i:c:p:92-103.

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18. A new macro stress testing approach for financial realignment in the Eurozone. (2019). Apergis, Emmanuel.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:61:y:2019:i:c:p:52-80.

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19. Correlation Under Stress In Normal Variance Mixture Models. (2018). Packham, Natalie ; Kalkbrener, Michael.
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20. A network approach to unravel asset price comovement using minimal dependence structure. (2018). de Carvalho, Pablo ; Campos, Pablo Jose ; Gupta, Aparna.
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21. An evaluation of bank measures for market risk before, during and after the financial crisis. (2017). Szersze, Pawe J ; Obrien, James.
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22. Market risk management in a post-Basel II regulatory environmentAuthor-Name: Drenovak, Mikica. (2017). Rankovi, Vladimir ; Jelic, Ranko ; Ivanovi, Milo ; Uroevi, Branko.
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23. Does the fear gauge predict downside risk more accurately than econometric models? Evidence from the US stock market. (2016). McMillan, David ; Tsuji, Chikashi.
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    RePEc:taf:oaefxx:v:4:y:2016:i:1:p:1220711.

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24. Estimating multi-period Value at Risk of oil futures prices. (2016). He, Yingchen ; Diao, Xundi ; Qin, Xiao ; Zhou, Chunyang.
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25. Regime switching model for financial data: Empirical risk analysis. (2016). Navet, Nicolas ; Champagnat, Nicolas ; Deaconu, Madalina ; Salhi, Khaled ; Lejay, Antoine.
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26. Extreme risk modeling: An EVT–pair-copulas approach for financial stress tests. (2016). Koliai, Lyes .
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27. Validation of default probability models: A stress testing approach. (2016). Kimura, Herbert ; Arismendi Zambrano, Juan ; Sobreiro, Vinicius Amorim ; Tsukahara, Fabio Yasuhiro .
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28. Modeling fund and portfolio risk: A bi-modal approach to analyzing risk in turbulent markets. (2015). Wilford, Sykes D. ; Karagiannidis, Iordanis.
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29. A comparison of Expected Shortfall estimation models. (2015). Righi, Marcelo ; Ceretta, Paulo Sergio.
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30. Liquidity-adjusted Intraday Value at Risk modeling and risk management: An application to data from Deutsche Börse. (2015). Dionne, Georges ; Zhou, Xiaozhou ; Pacurar, Maria.
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31. Forecasting portfolio-Value-at-Risk with nonparametric lower tail dependence estimates. (2015). Weiß, Gregor N. F., ; Stoimenov, Pavel ; Siburg, Karl Friedrich.
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32. Revisiting the asymmetric dynamic dependence of stock returns: Evidence from a quantile autoregression model. (2015). Li, ZhaoLai ; Zeng, Zhaofa ; You, Wanhai ; Zhu, Hui-Ming .
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33. Testing for structural breaks in correlations: Does it improve Value-at-Risk forecasting?. (2015). Wied, Dominik ; Weiß, Gregor N. F., ; Berens, Tobias.
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34. Stress-testing for portfolios of commodity futures. (2015). Paraschiv, Florentina ; Andrieș, Alin Marius ; Mudry, Pierre-Antoine.
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35. Benchmarking of Unconditional VaR and ES Calculation Methods: A Comparative Simulation Analysis with Truncated Stable Distribution. (2014). Isogai, Takashi.
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36. On downside risk predictability through liquidity and trading activity: A dynamic quantile approach. (2013). Sanchis-Marco, Lidia ; Rubia, Antonio.
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37. Forecasting VaR using analytic higher moments for GARCH processes. (2013). Lazar, Emese ; Alexander, Carol ; Stanescu, Silvia.
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38. Stress testing correlation matrices for risk management. (2013). Asai, Manabu ; So, Mike K. P., ; Wong, Jerry.
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39. Translating financial integration into correlation risk: A weekly reportings viewpoint for the volatility behavior of stock markets. (2013). Gatfaoui, Hayette.
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40. On monitoring financial stress index with extreme value theory. (2012). Limam, Mohamed ; el Ghourabi, Mohamed ; Dridi, Amira .
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41. THE USE OF A VALUE AT RISK MEASURE FOR THE ANALYSIS OF BANK INTEREST MARGINS. (2012). Gemzik-Salwach, Agata.
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42. Stress testing credit risk: The Great Depression scenario. (2012). Varotto, Simone.
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43. Multivariate stress scenarios and solvency. (2012). Smith, Andrew D. ; McNeil, Alexander J..
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44. Are Copula-GoF-tests of any practical use? Empirical evidence for stocks, commodities and FX futures. (2011). Weiß, Gregor N. F., .
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45. Comparing simulation models for market risk stress testing. (2011). Basu, Sanjay.
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    RePEc:eee:ejores:v:213:y:2011:i:1:p:329-339.

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46. Identifying Vulnerabilities in Systemically Important Financial Institutions in a Macro-Financial Linkages Framework. (2010). Sun, Tao.
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47. How resilient is the German banking system to macroeconomic shocks?. (2010). Dovern, Jonas ; Vilsmeier, Johannes.
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48. The level and quality of Value-at-Risk disclosure by commercial banks. (2010). Smith, Daniel ; Perignon, Christophe.
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49. Integrated models of capital adequacy - Why banks are undercapitalised. (2010). Kretzschmar, Gavin ; Kirchner, Axel ; McNeil, Alexander J..
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50. A framework for assessing the systemic risk of major financial institutions. (2009). Zhou, Hao ; Huang, Xin ; Zhu, Haibin.
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