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Measuring and testing for the systemically important financial institutions
Castro, Carlos; Ferrari, Stijn - 2012
This paper analyses Delta CoVaR proposed by Adrian and Brunnermeier (2008) as a tool for identifying/ranking systemically important institutions and assessing interconnectedness. We develop a test of significance of Delta CoVaR that allows determining whether or not a financial institution can...
Persistent link: https://www.econbiz.de/10011506748
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Measuring and Testing for the Systemically Important Financial Institutions
Castro, Carlos - 2012
This paper analyses Delta CoVaR proposed by Adrian and Brunnermeier (2008) as a tool for identifying/ranking systemically important institutions and assessing interconnectedness. We develop a test of significance of Delta CoVaR that allows determining whether or not a financial institution can...
Persistent link: https://www.econbiz.de/10013099433
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Measuring and testing for the systemically important financial institutions
Castro Iragorri, Carlos Alberto; Ferrari, Stijn - 2012
This paper analyses Delta CoVaR proposed by Adrian and Brunnermeier (2008) as a tool for identifying/ranking systemically important institutions and assessing interconnectedness. We develop a test of significance of Delta CoVaR that allows determining whether or not a financial institution can...
Persistent link: https://www.econbiz.de/10011590621
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Measuring and testing for the systemically important financial institutions
Castro, Carlos; Ferrari, Stijn - Nationale Bank van België/Banque national de Belqique (BNB) - 2012
This paper analyses Delta CoVaR proposed by Adrian and Brunnermeier (2008) as a tool for identifying/ranking systemically important institutions and assessing interconnectedness. We develop a test of significance of Delta CoVaR that allows determining whether or not a financial institution can...
Persistent link: https://www.econbiz.de/10011272804
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Measuring and testing for the systemically important financial institutions
Castro Iragorri, Carlos Alberto; Ferrari, Stijn - 2012
Persistent link: https://www.econbiz.de/10009664893
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A network model of financial system resilience
Anand, Kartik; Gai, Prasanna; Kapadia, Sujit; Brennan, Simon - 2012
Persistent link: https://www.econbiz.de/10009619091
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The effect of the interbank network structure on contagion and financial stability
Georg, Co-Pierre - 2010
influence of the network topology on contagion in financial networks. This paper therefore compares contagion in Barabási … deposits. Contagion effects from the default of a large bank are studied in different network topologies. The results indicate … that contagion is more severe in random and scale-free networks than in small-world networks. This situation changes when …
Persistent link: https://www.econbiz.de/10009012483
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A multi-level network approach to spillovers analysis : an application to the Maltese domestic investment funds sector
Meglioli, Francesco; Gauci, Stephanie - 2021
In this paper we present a new approach to analyse the interconnectedness between a macro-level network and a local-level network. Our methodology is developed on the Diebold and Yilmaz connectedness measure and it considers the presence of entities within a global network which can influence...
Persistent link: https://www.econbiz.de/10012603304
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The effect of the interbank network structure on contagion and financial stability
Georg, Co-Pierre - 2010
influence of the network topology on contagion in financial networks. This paper therefore compares contagion in Barabási … deposits. Contagion effects from the default of a large bank are studied in different network topologies. The results indicate … that contagion is more severe in random and scale-free networks than in small-world networks. This situation changes when …
Persistent link: https://www.econbiz.de/10010334482
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Size and complexity in model financial systems
Arinaminpathy, Nimalan; Kapadia, Sujit; May, Robert - 2012
Persistent link: https://www.econbiz.de/10009671779