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International banking and liquidity risk transmission : lessons from across countries
Buch, Claudia M.; Goldberg, Linda S. - 2014
Activities of international banks have been at the core of discussions on the causes and effects of the international financial crisis. Yet, we know little about the actual magnitudes and mechanisms for transmission of liquidity shocks through international banks, including the reasons for...
Persistent link: https://www.econbiz.de/10010393856
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Fundamentals matter : idiosyncratic shocks and interbank relations
Bednarek, Peter; Dinger, Valeriya; Westernhagen, Natalja von - 2015
Our results uncover a so far undocumented ability of the interbank market to distinguish between banks of different quality in times of aggregate distress. We show empirical evidence that during the 2007 financial crisis the inability of some banks to roll over their interbank debt was not due...
Persistent link: https://www.econbiz.de/10011414244
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Robustness and informativeness of systemic risk measures
Löffler, Gunter; Raupach, Peter - 2013
Recent literature has proposed new methods for measuring the systemic risk of financial institutions based on observed stock returns. In this paper we examine the reliability and robustness of such risk measures, focusing on CoVaR, marginal expected shortfall, and option-based tail risk...
Persistent link: https://www.econbiz.de/10009720895
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Investor fears and risk premia for rare events
Schwarz, Claudia - 2014 - This version: January 13, 2014
from options data. In a second step, jump tail distributions are approximated using the extreme value theory. Applying the … investor fear index for the US and Germany, I find that the correlation of the fear index for the US with the VIX is 89.5% and … that of the fear index for Germany with the VDAX is 90.6%. …
Persistent link: https://www.econbiz.de/10010249730
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The impact of systemic and illiquidity risk on financing with risky collateral
Lillo, Fabrizio; Pirino, Davide - In: Journal of economic dynamics & control 50 (2015), pp. 180-202
Persistent link: https://www.econbiz.de/10010486947
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Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction
Di Gangi, Domenico; Lillo, Fabrizio; Pirino, Davide - In: Journal of economic dynamics & control 94 (2018), pp. 117-141
Persistent link: https://www.econbiz.de/10012004377
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Risk sharing through financial markets with endogenous enforcement of trades
Köppl, Thorsten V. - In: Journal of economic dynamics & control 30 (2006) 11, pp. 1987-2014
Persistent link: https://www.econbiz.de/10003389815
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Extrinsic and intrisic uncertainty in a world with incomplete asset markets and asset retrading : a three period example
Burnell, Stephen J. - 1990
Persistent link: https://www.econbiz.de/10000920659
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Risk, the financial market, and macroeconomic equilibrium
Grinols, Earl L. - In: Journal of economic dynamics & control 17 (1993) 1, pp. 1-36
Persistent link: https://www.econbiz.de/10001136252
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Statistical arbitrage and risk contagion
Gao, Xing; Ladley, Dan - In: Journal of economic dynamics & control 144 (2022), pp. 1-20
Persistent link: https://www.econbiz.de/10013543138