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Derivatives holdings and systemic risk in the U.S. banking sector
Mayordomo, Sergio; Rodriguez-Moreno, Maria; Peña, Juan … - In: Journal of Banking & Finance 45 (2014) C, pp. 84-104
This paper studies the impact of the banks’ portfolio holdings of financial derivatives on the banks’ individual …, outperforms the others. Using this measure we find that banks’ aggregate holdings of five classes of derivatives do not exhibit a … derivatives such as foreign exchange and credit derivatives increase the banks contributions to systemic risk whereas holdings of …
Persistent link: https://www.econbiz.de/10011065628
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Efficient Markets and the Law: A Predictable Past and an Uncertain Future
Hu, Henry T.C. - In: Annual Review of Financial Economics 4 (2012) 1, pp. 179-214
This article analyzes the manifold situations in which the efficient-market hypothesis (EMH) has influenced—or has failed to influence—federal securities regulation and state corporate law, and the prospective roles for the EMH in these contexts. In federal securities regulation, the EMH has...
Persistent link: https://www.econbiz.de/10010603964
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Systemic risk measures: The simpler the better?
Rodríguez-Moreno, María; Peña, Juan Ignacio - In: Journal of Banking & Finance 37 (2013) 6, pp. 1817-1831
US interbank rates, stock prices and credit derivatives data from 2004 to 2009. Measures belonging to the macro group …
Persistent link: https://www.econbiz.de/10011065706
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Systemic risk in an interconnected banking system with endogenous asset markets
Bluhm, Marcel; Krahnen, Jan Pieter - In: Journal of Financial Stability 13 (2014) C, pp. 75-94
We analyze the emergence of systemic risk in a network model of interconnected bank balance sheets. The model incorporates multiple sources of systemic risk, including size of financial institutions, direct exposure from interbank lendings, and asset fire sales. We suggest a new macroprudential...
Persistent link: https://www.econbiz.de/10010906519
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Systemic risk in an interconnected banking system with endogenous asset markets
Bluhm, Marcel; Krahnen, Jan Pieter - Research Center SAFE (Sustainable Architecture for … - 2014
We analyze the emergence of systemic risk in a network model of interconnected bank balance sheets. The model incorporates multiple sources of systemic risk, including size of financial institutions, direct exposure from interbank lendings, and asset fire sales. We suggest a new macroprudential...
Persistent link: https://www.econbiz.de/10010955148
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Using Shapley’s asymmetric power index to measure banks’ contributions to systemic risk
Garratt, Rodney; Webber, Lewis; Willison, Matthew - Bank of England - 2012
An individual bank can put the whole banking system at risk if its losses in response to shocks push losses for the system as a whole above a critical threshold. We determine the contribution of banks to this systemic risk using a generalisation of the Shapley value; a concept originating in...
Persistent link: https://www.econbiz.de/10004990657
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Default risk in an interconnected banking system with endogeneous asset markets
Bluhm, Marcel; Krahnen, Jan Pieter - Center for Financial Studies - 2011
This paper analyzes the emergence of systemic risk in a network model of interconnected bank balance sheets. Given a shock to asset values of one or several banks, systemic risk in the form of multiple bank defaults depends on the strength of balance sheets and asset market liquidity. The price...
Persistent link: https://www.econbiz.de/10010958762
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From Financial Tradition to Innovation in Contemporary Banking
Mitrescu, Silvia Ghita; Duhnea, Cristina; Nitu, Oana - In: Ovidius University Annals, Economic Sciences Series X (2010) 1, pp. 1608-1613
The financial crisis that affected the world market in late 2007 and determinate the failure of some prestigious banks and an unprecedented collapse of the stock market indices had multiple causes and lead to the transformation of the global financial market. To determine the causes that have...
Persistent link: https://www.econbiz.de/10008854956
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Sequential estimation of shape parameters in multivariate dynamic models
Amengual, Dante; Fiorentini, Gabriele; Sentana, Enrique - In: Journal of Econometrics 177 (2013) 2, pp. 233-249
Sequential maximum likelihood and GMM estimators of distributional parameters obtained from the standardised innovations of multivariate conditionally heteroskedastic dynamic regression models evaluated at Gaussian PML estimators preserve the consistency of mean and variance parameters while...
Persistent link: https://www.econbiz.de/10010709438
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Macroprudential banking regulation: Does one size fit all?
Neuberger, Doris; Rissi, Roger - Institut für Volkswirtschaftlehre, Universität Rostock - 2012
The macroprudential regulatory framework of Basel III imposes the same capital and liquidity requirements on all banks around the world to ensure global competitiveness of banks. Using an agent-based model of the financial system, we find that this is not a robust framework to achieve...
Persistent link: https://www.econbiz.de/10010986089