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information about another bank, triggering information contagion. When banks are subject to common exposures, information … contagion induces small adjustments to bank portfolios and therefore increases overall systemic risk. When banks are subject to …We examine the effect of ex-post information contagion on the ex-ante level of systemic risk defined as the probability …
Persistent link: https://www.econbiz.de/10011686636
We provide empirical evidence of the causal effects of changes in financial intermediaries' net worth on the aggregate economy. Our strategy identifies financial shocks as high-frequency changes in the market value of intermediaries' net worth in a narrow window around their earnings...
Persistent link: https://www.econbiz.de/10013252981
arrangements among global reinsurers (retrocession). The authors find that contagion in the global reinsurance market is plausible …
Persistent link: https://www.econbiz.de/10011521658
We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbances. In so doing, we provide an exact distribution-free method to test uniform linear restrictions in multivariate linear...
Persistent link: https://www.econbiz.de/10009746573
We propose double bootstrap methods to test the mean-variance efficiency hypothesis when multiple portfolio groupings of the test assets are considered jointly rather than individually. A direct test of the joint null hypothesis may not be possible with standard methods when the total number of...
Persistent link: https://www.econbiz.de/10010429974
A distinguishing feature of macro stress testing exercises is the use of macroeconomic models in scenario design and implementation. It is widely agreed that scenarios should be based on rare but plausibleʺ events that have either resulted in vulnerabilities in the past or could do so in the...
Persistent link: https://www.econbiz.de/10003772984
alternative mechanisms for allocating the overall risk of a banking system to its member banks. Overall risk is estimated using a … model that explicitly incorporates contagion externalities present in the financial system. We have access to a unique data … set of the Canadian banking system, which includes individual banks' risk exposures as well as detailed information on …
Persistent link: https://www.econbiz.de/10003933397
outcome of the interaction between market liquidity risk, solvency risk, and the funding structure of banks. To assess the …
Persistent link: https://www.econbiz.de/10008728707
Computational methods both open the frontiers of economic analysis and serve as a bottleneck in what can be achieved. Using the quantum Monte Carlo (QMC) algorithm, we are the first to study whether quantum computing can improve the run time of economic applications and challenges in doing so....
Persistent link: https://www.econbiz.de/10013264908
I study rollover risk in the wholesale funding market when intermediaries can hold liquidity ex ante and are subject to fire sales ex post. Precautionary liquidity restores multiple equilibria in a global rollover game. An intermediate liquidity level supports both the usual run equilibrium and...
Persistent link: https://www.econbiz.de/10010360348