| 期刊論文| 1. | 鍾經樊(20110600)。涵蓋信用風險、銀行間傳染風險、與流動性風險的臺灣金融系統風險量化模型。中央銀行季刊，33(2)，13-40。 延伸查詢 | | 2. | Acharya, V. V.、Engle, R.、Richardson, M. P.(2012)。Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks。American Economic Review，102(3)，59-64。  | | 3. | 陳裴紋(20131200)。金融壓力指數之建置與應用--臺灣的個案研究。中央銀行季刊，35(4)，11-61。 延伸查詢 | | 4. | Banulescu, G. D.、Dumitrescu, E. I.(2015)。Which are the SIFIs? A Component Expected Shortfall Approach to Systemic Risk。Journal of Banking and Finance，50，575-588。 | | 5. | Bisias, D.、Flood, M.、Lo, A. W.、Valavanis, S.(2012)。A Survey of Systemic Risk Analytics。Annual Review of Financial Economics，4(1)，255-296。 | | 6. | Castro, C.、Ferrari, S.(2014)。Measuring and Testing for the Systemically Important Financial Institutions。Journal of Empirical Finance，25，1-14。 | | 7. | Drehmann, M.、Tarashev, N.(2011)。Systemic Importance: Some Simple Indicators。BIS Quarterly Review，2011(Mar.)，25-37。 | | 8. | Girardi, G.、Ergun, A. T.(2013)。Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR。Journal of Banking and Finance，37(8)，3169-3180。 | | 9. | Gauthier, C.、Lehar, A.、Souissi, M.(2012)。Macroprudential Capital Requirements and Systemic Risk。Journal of Financial Intermediation，21(4)，594-618。 | | 10. | Shapley, L. S.(1953)。Stochastic Games。Mathematics，39，1095-1100。 | | 11. | Rodriguez-Moreno, M.、Pena, J.(2013)。Systemic Risk Measures: The Simpler the Better?。Journal of Banking and Finance，37(6)，1817-1831。 | | 12. | 張天惠(20120600)。我國金融情勢指數與總體經濟預測。中央銀行季刊，34(2)，11-41。 延伸查詢 | 研究報告| 1. | Acharya, V. V.、Pedersen, L. H.、Philippon, T.、Richardson, M. P.(2010)。Measuring Systemic Risk。Department of Finance, NYU Stern School of Business。 | | 2. | Benoit, Sylvain、Colletaz, Gilbert、Hurlin, Christophe、Pérignon, Christophe(2013)。A Theoretical and Empirical Comparison of Systemic Risk Measures。 | | 3. | Adrian, T.、Brunnermeier, M. K.(2011)。CoVaR。 | | 4. | Brownlees, C.、Engle, R.(2015)。SRISK: A Conditional Capital Shortfall Measure of Systemic Risk。New York University。 | | 5. | Benoit, S.、Colliard, J.、Hurlin, C.、Perignon, C.(2015)。Where the Risks Lie: A Survey on Systemic Risk。 | | 6. | Brunnermeier, M. K.、Eisenbach, T. M.、Sannikov, Y.(2012)。Macroeconomics with Financial Frictions: A Survey。 | | 7. | Tarashev, N.、Borio, C.、Tsatsaronis, K.(2010)。Attributing systemic risk to individual institutions。 | 圖書| 1. | Basel Committee on Banking Supervision(2011)。Global systemically important banks: Assessment methodology and the additional loss absorbency requirement。Basel Committee on Banking Supervision。 | | 2. | Bank of England(2016)。The Financial Policy Committee's framework for the systemic risk buffer。Financial Policy Committee, Bank of England。 | | 3. | Basel Committee on Banking Supervision(2012)。A Framework for Dealing with Domestic Systemically Important Banks。Basel Committee on Banking Supervision。 | | 4. | Hong Kong Monetary Authority(2014)。A Framework for Systemically Important Banks in Hong Kong。Hong Kong Monetary Authority。 | | 5. | Monetary Authority of Singapore(2014)。Proposed Framework for Systemically Important Banks in Singapore。Monetary Authority of Singapore。 | | 6. | Monetary Authority of Singapore(2015)。MAS Framework for Impact and Risk Assessment of Financial Institutions。Monetary Authority of Singapore。 | | 7. | Engle, R.(2009)。Anticipating Correlations: A New Paradigm for Risk Management。 | 圖書論文| 1. | 黃富櫻(2010)。本次金融危機之五個重要個案分析。全球金融危機專輯。中央銀行。 延伸查詢 | | 2. | De Bandt, O.、Hartmann, P.、Peydro, J.-L.(2012)。Systemic Risk in Banking: An Update。The Oxford Handbook of Banking。Oxford University Press。 | | 3. | Hansen, L. P.(2013)。Challenges in Identifying and Measuring Systemic Risk。Risk Topography: Systemic Risk and Macro Modeling。National Bureau of Economic Research。 | | 4. | Federal Reserve(2015)。Dodd-Frank Act Stress Test 2015: Supervisory Stress Test Methodology and Results。The Federal Reserve, Dodd-Frank Act Stress Tests 2015。 | | 5. | International Monetary Fund(2009)。Assessing the Systemic Implications of Financial Linkages。Global Financial Stability Report。International Monetary Fund。 | |