Showing 1 - 10 of 1,336
This paper provides an empirical analysis of the risk of trading revenues of U.S. commercial banks. We collect quarterly data on trading revenues, broken down by business line, as well as the Value at Risk-based market risk charge. The overall picture from these preliminary results is that there...
Persistent link: https://www.econbiz.de/10012762521
regulatory purposes. Despite its conceptual simplicity, its measurement is a very challenging statistical problem and none of the …
Persistent link: https://www.econbiz.de/10013218406
We propose several connectedness measures built from pieces of variance decompositions, and we argue that they provide natural and insightful measures of connectedness among financial asset returns and volatilities. We also show that variance decompositions define weighted, directed networks, so...
Persistent link: https://www.econbiz.de/10013119773
on experiences with other measurement agendas to place in perspective the challenge of quantifying systemic risk, or more …
Persistent link: https://www.econbiz.de/10013098478
We address the question of the prediction of large failures, busts, or system collapse, and the necessary concepts related to risk quantification, minimization and management. Answering this question requires a new approach since predictions using standard financial techniques and statistical...
Persistent link: https://www.econbiz.de/10013125574
We propose a measure for systemic risk: CoVaR, the value at risk (VaR) of the financial system conditional on institutions being under distress. We define an institution's contribution to systemic risk as the difference between CoVaR conditional on the institution being under distress and the...
Persistent link: https://www.econbiz.de/10013119814
The recent financial crisis has shown how interconnected the financial world has become. Shocks in one location or asset class can have a sizable impact on the stability of institutions and markets around the world. But systemic risk analysis is severely hampered by the lack of consistent data...
Persistent link: https://www.econbiz.de/10013098136
This paper proposes a theoretically based and easy-to-implement way to measure the systemic risk of financial institutions using publicly available accounting and stock market data. The measure models the credit enhancement taxpayers provide to individual banks in the Merton tradition (1974) as...
Persistent link: https://www.econbiz.de/10013107012
Here, I present and discuss a "10-by-10-by-10" network-based approach to monitoring systemic financial risk. Under this approach, a regulator would analyze the exposures of a core group of systemically important financial firms to a list of stressful scenarios, say 10 in number. For each...
Persistent link: https://www.econbiz.de/10013092573
This article evaluates a large collection of systemic risk measures based on their ability to predict macroeconomic downturns. We evaluate 19 measures of systemic risk in the US and Europe spanning several decades. We propose dimension reduction estimators for constructing systemic risk indexes...
Persistent link: https://www.econbiz.de/10013027685