Showing 1 - 10 of 29
The aim of this thesis is to improve the management of financial risks through the employment of econometric methods … effects that market liquidity risks encounter. This procedure can be useful to provide a better management of the liquidity …
Persistent link: https://www.econbiz.de/10011074619
In this study we disentangle two dimensions of banks' systemic risk: the level of bank tail risk and the linkage between a bank's tail risk and severe shocks in the financial system. We employ a measure of the systemic risk of financial institutions that can be decomposed into two subcomponents...
Persistent link: https://www.econbiz.de/10010945596
Alternative assets are gaining increasing importance in investors' portfolios. One of their defining characteristic is their poor liquidity, which often translates into an inherent smoothing process of the returns. For asset allocation purposes, this feature has to be seriously addressed as it...
Persistent link: https://www.econbiz.de/10010706658
We explore the role of financial openness - capital account openness and gross capital inflows - and a newly constructed gravity-based contagion index to assess the importance of these factors in the run-up to currency crises. Using a quarterly data set of 46 advanced and emerging market...
Persistent link: https://www.econbiz.de/10010757284
This paper presents an information variable for financial stability consisting of a composite index and its related critical boundaries. It is an extension of a Financial Conditions Index with information on financial institutions. The indicator is bounded, on one side, by the instability...
Persistent link: https://www.econbiz.de/10005101852
We consider the channel consisting in transferring the credit risk associated with refinancing operations between financial institutions to market participants. In particular, we analyze liquidity and volatility premia on the French government debt securities market, since these assets are used...
Persistent link: https://www.econbiz.de/10010706618
shares being used in arbitrage trades or by the indirect effect of ETF trading improving the liquidity of index stocks in the …
Persistent link: https://www.econbiz.de/10010799319
This paper reviews studies exploring how higher bank capital requirements affect economic growth. There is little evidence of a direct effect; research focuses on the indirect effects of capital requirements on credit supply, bank asset risk, and cost of bank capital, which in turn can affect...
Persistent link: https://www.econbiz.de/10011213677
This thesis contributes to the analysis and measure of systemic risk through four chapters. In the first chapter, we discuss the notion of systemic risk and detail the methodological issues of modeling. The second chapter proposes a structural model of solvency contagion. Within an equilibrium...
Persistent link: https://www.econbiz.de/10011265545
The Basel 3 Liquidity Coverage Ratio (LCR) is a micro prudential instrument to strengthen the liquidity position of banks. However if in extreme scenarios the LCR becomes a binding constraint, the interaction of bank behaviour with the regulatory rule can have negative externalities. We simulate...
Persistent link: https://www.econbiz.de/10010543516