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Ranking Systemically Important Financial Institutions

Dungey, Mardi; Luciani, Matteo; Veredas, David - Tinbergen Instituut - 2012

. First, Bank of America, JP Morgan and Wells Fargo are consistently in the top 10 throughout the sample. Citigroup and Lehman …

Persistent link: https://www.econbiz.de/10011255476

Insurance Sector Risk

Slijkerman, Jan Frederik - Tinbergen Instituut - 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/10011255587

Risk Measures for Autocorrelated Hedge Fund Returns

Cesare, Antonio Di; Stork, Philip A.; Vries, Casper G. de - Tinbergen Instituut - 2011

Standard risk metrics tend to underestimate the true risks of hedge funds becauseof serial correlation in the reported returns. Getmansky et al. (2004) derive mean,variance, Sharpe ratio, and beta formulae adjusted for serial correlation. Followingtheir lead, adjusted downside and global...

Persistent link: https://www.econbiz.de/10011255664

Granular institutional investors and global market interdependence

Jinjarak, Yothin; Zheng, Huanhuan - In: Journal of International Money and Finance 46 (2014) C, pp. 61-81

. Applying the conditional value-at-risk estimation to micro-level weekly observations of international mutual funds between 2003 …

Persistent link: https://www.econbiz.de/10010869444

Insurance Sector Risk

Slijkerman, Jan Frederik - Tinbergen Institute - 2006

Persistent link: https://www.econbiz.de/10005137081

Marking-to-market government guarantees to financial systems – Theory and evidence for Europe

Baglioni, Angelo; Cherubini, Umberto - In: Journal of International Money and Finance 32 (2013) C, pp. 990-1007

We propose a new index for measuring the systemic risk of default of the banking sector, which is based on a homogeneous version of multivariate intensity based models (Cuadras–Augé distribution). We compute the index for 10 European countries, exploiting the information incorporated in the...

Persistent link: https://www.econbiz.de/10010594671

Macro-prudential policies to mitigate financial system vulnerabilities

Claessens, Stijn; Ghosh, Swati R.; Mihet, Roxana - In: Journal of International Money and Finance 39 (2013) C, pp. 153-185

distribution, and dynamic provisioning) also help mitigate increases in bank leverage and assets, few policies help stop declines …

Persistent link: https://www.econbiz.de/10010719321

A Pigovian Approach to Liquidity Regulation

Perotti, Enrico; Suarez, Javier - Tinbergen Institute - 2011

This paper discusses liquidity regulation when short-term funding enables credit growth but generates negative systemic risk externalities. It focuses on the relative

Persistent link: https://www.econbiz.de/10008867501

The growth of a shadow banking system in emerging markets: Evidence from India

Acharya, Viral V.; Khandwala, Hemal; Sabri Öncü, T. - In: Journal of International Money and Finance 39 (2013) C, pp. 207-230

We study the determinants of the growth of those non-deposit taking non-bank financial corporations (NBFCs) which are … regarded by the Reserve Bank of India as being systemically important and have grown substantially in India over the past … decade. We document that bank lending to NBFCs (i) forms a significant proportion of the NBFC liabilities; (ii) fluctuates in …

Persistent link: https://www.econbiz.de/10011048518

‘Too systemically important to fail’ in banking – Evidence from bank mergers and acquisitions

Molyneux, Philip; Schaeck, Klaus; Zhou, Tim Mi - In: Journal of International Money and Finance 49 (2014) PB, pp. 258-282

-systemically-important-to-fail’ (TSITF). We exploit a sample of bank mergers and acquisitions (M&As) in nine EU economies between 1997 and 2007 to capture … systems. We, however, find no evidence that gaining safety net subsidies leads to TSITF bank's increased interdependency over …

Persistent link: https://www.econbiz.de/10011077084