Showing 1 - 10 of 209
This paper examines banks' disclosures and loss recognition in the financial crisis and identifies several core issues …, banks' disclosures about relevant risk exposures were relatively sparse. Such disclosures came later after major concerns … about banks' exposures had arisen in markets. Similarly, the recognition of loan losses was relatively slow and delayed …
Persistent link: https://www.econbiz.de/10012290508
(SVaR). Under the SVaR metric, the contribution of individual banks to systemic risk is well defined and can be approximated … bank's individual contribution to systemic risk diverges from the optimal macroprudential capitalization of the banks from …
Persistent link: https://www.econbiz.de/10010335958
(SVaR). Under the SVaR metric, the contribution of individual banks to systemic risk is well defined and can be approximated … bank's individual contribution to systemic risk diverges from the optimal macroprudential capitalization of the banks from …
Persistent link: https://www.econbiz.de/10010339532
system, we find that bigger banks, banks with riskier activities, with poor asset quality, and funding and liquidity …
Persistent link: https://www.econbiz.de/10010327804
We present a network model of the interbank market in which optimizing risk averse banks lend to each other and invest … traded quantities are determined by means of a matching algorithm. Contagion occurs through liquidity hoarding, interbank …
Persistent link: https://www.econbiz.de/10012064282
contagion in the banking system and of how banks form connections when faced with the possibility of contagion and systemic risk … interconnections, contagion processes and systemic risk, while emphasizing at the same time the challenges that must be addressed …
Persistent link: https://www.econbiz.de/10012064283
system, we find that bigger banks, banks with riskier activities, with poor asset quality, and funding and liquidity …
Persistent link: https://www.econbiz.de/10010226548
institutions with a large number of inter-community linkages (community bridges) are more relevant in spreading contagion than …
Persistent link: https://www.econbiz.de/10012064308
This paper examines the relationship between oil price movements and systemic risk of many financial institutions in major petroleum-based economies. We estimate ΔcoVaR for those institutions and thereby observe the presence of elevated increases in the levels corresponding to the subprime and...
Persistent link: https://www.econbiz.de/10012064299
value at risk and marginal expected shortfall, on 3 groups, namely banks, insurers and non-financial companies listed in … persistent systemic relevance over time and plays a subordinate role in causing systemic risk compared to banks, and that ii …
Persistent link: https://www.econbiz.de/10011434812