Open Access

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


Cite

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)0000010014Search in Google Scholar

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.Search in Google Scholar

Gątarek, D., Maksymiuk, M., Krysiak, R. & Witkowski, Ł. (2001). Modern method of financialrisk management. Warsaw: WIG-Press.Search in Google Scholar

Gray, D.F. & Malone, S. (2011). Macrofinancial Risk Analysis. Publisher John Wiley & Sons, ISBN: 978-0-470-05831-2.Search in Google Scholar

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).Search in Google Scholar

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.Search in Google Scholar

Hull, J.C. (2003). Options, Futures and Other Derivatives. NJ: Prentice Hall, Upper Saddle River.Search in Google Scholar

Hull, J.C., Nelken, I. & White, A. (2003). Merton’s Model, Credit Risk, and Volatility Skews. University of Toronto.Search in Google Scholar

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.).Search in Google Scholar

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.).Search in Google Scholar

MKMV. (2003). Modeling Default Risk. Moody’s KMV, Moody’s Analytics (www.mkmv. com).Search in Google Scholar

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.Search in Google Scholar

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. Search in Google Scholar

eISSN:
1898-0198
ISSN:
1730-4237
Language:
English
Publication timeframe:
2 times per year
Journal Subjects:
Business and Economics, Political Economics, other