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Measuring systemic risk of the banking industry in China : a DCC-MIDAS-t approach
Xu, Qifa; Chen, Lu; Jiang, Cuixia; Yuan, Jing - In: Pacific-Basin finance journal 51 (2018), pp. 13-31
Persistent link: https://www.econbiz.de/10012035069
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Bank Sovereign Bond Holdings, Sovereign Shock Spillovers, and Moral Hazard During the European Crisis
Beltratti, Andrea - 2015
From 2010 to 2012, the relation between bank stock returns from European Union (EU) countries and the returns on …
Persistent link: https://www.econbiz.de/10013022926
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Bank sovereign bond holdings, sovereign shock spillovers, and moral hazard during the European crisis
Beltratti, Andrea - 2015
From 2010 to 2012, the relation between bank stock returns from European Union (EU) countries and the returns on …
Persistent link: https://www.econbiz.de/10012457516
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Financial Connections and Systemic Risk
Allen, Franklin - 2010
. Upon the arrival of a signal about banks' future defaults, investors update their expectations of bank solvency. If their …
Persistent link: https://www.econbiz.de/10012462480
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Crisis transmission : visualizing vulnerability
Dungey, Mardi H.; Islam, Raisul; Volkov, V. V. - In: Pacific-Basin finance journal 59 (2020), pp. 1-22
Persistent link: https://www.econbiz.de/10012231173
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Network connectedness and China's systemic financial risk contagion : an analysis based on big data
Fan, Xiaoyun; Wang, Yedong; Wang, Daoping - In: Pacific-Basin finance journal 68 (2021), pp. 1-29
Persistent link: https://www.econbiz.de/10013332723
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Systemic Risk and Stability in Financial Networks
Acemoglu, Daron - 2013
We provide a framework for studying the relationship between the financial network architecture and the likelihood of systemic failures due to contagion of counterparty risk. We show that financial contagion exhibits a form of phase transition as interbank connections increase: as long as the...
Persistent link: https://www.econbiz.de/10012459934
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Systemic Risk and Stability in Financial Networks
Acemoglu, Daron - 2013
We provide a framework for studying the relationship between the financial network architecture and the likelihood of systemic failures due to contagion of counterparty risk. We show that financial contagion exhibits a form of phase transition as interbank connections increase: as long as the...
Persistent link: https://www.econbiz.de/10013087886
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Financial Connections and Systemic Risk
Allen, Franklin - 2010
. Upon the arrival of a signal about banks' future defaults, investors update their expectations of bank solvency. If their …
Persistent link: https://www.econbiz.de/10013141271
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Systemic risk in financial institutions : a multiplex network approach
Xie, Yiwei; Jiao, Feng; Li, Shihan; Liu, Qingfu; Tse, Yiuman - In: Pacific-Basin finance journal 73 (2022), pp. 1-23
Persistent link: https://www.econbiz.de/10013380672