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A theoretical and empirical comparison of systemic risk measures
Benoit, Sylvain; Colletaz, Gilbert; Hurlin, Christophe; … - 2013
We derive several popular systemic risk measures in a common framework and show that they can be expressed as … transformations of market risk measures (e.g., beta). We also derive conditions under which the different measures lead to similar … show that (1) different systemic risk measures identify different SIFIs and that (2) firm rankings based on systemic risk …
Persistent link: https://www.econbiz.de/10010497204
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Equilibrium fast trading
Biais, Bruno; Foucault, Thierry; Moinas, Sophie - 2012
High-speed market connections and information processing improve the ability to seize trading opportunities, raising gains from trade. They also enable fast traders to process information before slow traders, generating adverse selection, and thus negative externalities. When investing in...
Persistent link: https://www.econbiz.de/10010391294