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Short-selling, leverage and systemic risk

Pais, Amelia; Stork, Philip - 2013

During the Global Financial Crisis, regulators imposed short-selling bans to protect financial institutions. The rationale behind the bans was that "bear raids", driven by short-sellers, would increase the individual and systemic risk of financial institutions, especially for institutions with...

Persistent link: https://www.econbiz.de/10010226885

Spillover dynamics for systemic risk measurement using spatial financial time series models : conference paper

Blasques, Francisco; Koopman, Siem Jan; Lucas, André; … - 2014

dependence after the Greek default in winter 2012, which can be explained economically by a change in bank regulation. …

Persistent link: https://www.econbiz.de/10010491085

Capital regulation and tail risk

Perotti, Enrico C.; Ratnovski, Lev; Vlahu, Razvan - 2011

The paper studies risk mitigation associated with capital regulation, in a context when banks may choose tail risk … stylized facts about pre-crisis bank behavior, and suggest implications for the optimal design of capital regulation. …

Persistent link: https://www.econbiz.de/10011383199

Spillover dynamics for systemic risk measurement using spatial financial time series models

Blasques, Francisco; Koopman, Siem Jan; Lucas, André; … - 2014

We introduce a new model for time-varying spatial dependence. The model extends the well-known static spatial lag model. All parameters can be estimated conveniently by maximum likelihood. We establish the theoretical properties of the model and show that the maximum likelihood estimator for the...

Persistent link: https://www.econbiz.de/10010391531

Macroprudential regulation : a risk management approach

Dimitrov, Daniel; Wijnbergen, Sweder van - 2023

We address the problem of regulating the size of banks' macroprudential capital buffers by using market-based estimates of systemic risk and by developing a modeling mechanism through which capital buffers can be allocated efficiently across systemic banks. First, a Distance-to-Default type...

Persistent link: https://www.econbiz.de/10013489714

Insurance sector risk

Slijkerman, Jan Frederik - 2006

We model and measure simultaneous large losses of the market value of insurers to understand the impact of shocks on the insurance sector. The downside risk of insurers is explicitly modelled by common and idiosyncratic risk factors. Since reinsurance is important for the capacity of insurers,...

Persistent link: https://www.econbiz.de/10011349192

Credit rationing effects of credit value-at-risk

Slijkerman, Jan Frederik; Smant, David Jan Cornelis; … - 2004

asymmetric information the banks face the risk of adverse selection. Credit Value-at-Risk (CVaR) regulation counters the problem … of low quality, i.e. high risk, loans and therefore reduces the risk of the bank loan portfolio. However, CVaR regulation … welfare. CVaR regulation also affects the operation of monetary policy. …

Persistent link: https://www.econbiz.de/10011334832