Search Results - "Systemic risk"

Maldives : Financial Sector Assessment Program-Technical Note on Bank Stress Testing and Climate Risk Analysis

International Monetary Fund / Monetary and Capital … - 2024

This paper presents a technical note on bank stress testing and climate risks analysis in Maldives. Although the Maldives' economy has rebounded strongly from the pandemic-induced contraction, macro and financial vulnerabilities remain. The stress test results broadly corroborated the identified...

Persistent link: https://www.econbiz.de/10015058739

Financial risk meter for the Romanian stock market

Pele, Daniel Traian; Conda, Alexandra Ioana; Bag, Raul … - In: Romanian journal of economic forecasting 26 (2023) 1, pp. 5-24

Persistent link: https://www.econbiz.de/10014279606

Decomposing systemic risk : the roles of contagion and common exposures

Hałaj, Grzegorz; Hipp, Ruben - 2024

systemic risk have changed structurally. Our new framework complements traditional stress-tests focused on single institutions … by providing a holistic view of systemic risk. …

Persistent link: https://www.econbiz.de/10014527066

QE : implications for bank risk-taking, profitability, and systemic risk

Velic, Adnan; Kapoor, Supriya - 2022

Persistent link: https://www.econbiz.de/10012888092

Constructing a cyclical Systemic Risk Indicator (cSRI) for Malta

Vella, Sarah - 2024

Cyclical systemic risk arises when macro-financial imbalances accumulate over time. Past financial crises which … cyclical systemic risk indicator (cSRI). The cSRI is driven by the 2-year growth rate in real bank credit, the 1-year change in …

Persistent link: https://www.econbiz.de/10014450559

The Credit Suisse bailout in hindsight : not a bitter pill to swallow, but a case to follow

Böni, Pascal; Zimmermann, Heinz - In: Financial markets and portfolio management 38 (2024) 1, pp. 1-35

Persistent link: https://www.econbiz.de/10014500560

Assessing portfolio vulnerability to systemic risk : a vine copula and APARCH-DCC approach

Mba, Jules Clement - In: Financial innovation : FIN 10 (2024), pp. 1-36

This study evaluates the sensitivity and robustness of the systemic risk measure, Conditional Value-at-Risk (CoVaR … the vine copula and APARCH-DCC in assessing portfolio systemic risk. This advanced approach provides nuanced insights into … CoVaR to another systemic risk measure could provide further insights into its reliability as a systemic risk measure. …

Persistent link: https://www.econbiz.de/10014532413

Too-systemic-to-fail : empirical comparison of systemic risk measures in the Eurozone financial system

Armanious, Amir - In: Journal of financial stability 73 (2024), pp. 1-48

Persistent link: https://www.econbiz.de/10015083444

Multivariate systemic risk measures and computation by deep learning algorithms

Doldi, A.; Feng, Y.; Fouque, Jean-Pierre; Frittelli, Marco - In: Quantitative finance 23 (2023) 10, pp. 1431-1444

Persistent link: https://www.econbiz.de/10014419169

Impact of bank regulation on risk of Islamic and conventional banks

Hoque, Hafiz; Liu, Heng - In: International journal of finance & economics : IJFE 28 (2023) 1, pp. 1025-1062

Persistent link: https://www.econbiz.de/10014248129