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Spillover Effects among Financial Institutions : A State-Dependent Sensitivity Value-at-Risk (SDSVaR) Approach

Adams, Zeno - 2015

In this paper, we propose a state-dependent sensitivity VaR (SDSVaR) to quantify the size and duration of risk spillovers among financial institutions. We permit spillover effects to change depending on the state of financial markets. We show that while small during calm times, equivalent shocks...

Persistent link: https://www.econbiz.de/10013038459

Systemic risk, contagion, and state-dependent sensitivities in value-at-risk estimation : evidence from hedge funds

Adams, Zeno; Füss, Roland; Gropp, Reint - 2010 - Working paper, this version: January 2010

Persistent link: https://www.econbiz.de/10008907354

Spillover effects among financial institutions : a state-dependent sensitivity value-at-risk approach

Adams, Zeno; Füss, Roland; Gropp, Reint - 2012 - This version: September 2012

In this paper, we develop a state-dependent sensitivity value-at-risk (SDSVaR) approach that enables us to quantify the direction, size, and duration of risk spillovers among financial institutions as a function of the state of financial markets (tranquil, normal, and volatile). Within a system...

Persistent link: https://www.econbiz.de/10010226180

Spillover effects among financial institutions : a state-dependent sensitivity value-at-risk approach

Adams, Zeno; Füss, Roland; Gropp, Reint - In: Journal of financial and quantitative analysis : JFQA 49 (2014) 3, pp. 575-598

Persistent link: https://www.econbiz.de/10010487100

Public bank guarantees and allocative efficiency

Gropp, Reint; Güttler, André; Saadi, Vahid - In: Journal of monetary economics 116 (2020), pp. 53-69

Persistent link: https://www.econbiz.de/10012495062

A new metric for banking integration in Europe

Gropp, Reint (contributor); Kashyap, Anil K. (contributor) - 2008

taking place for retail banking. Data on cross-border retail bank flows, cross-border bank mergers and the law of one price … reveal no evidence of integration in retail banking. This paper shows that the previous tests of bank integration are weak in … role of an active market for corporate control and of competition in banking integration. European listed banks …

Persistent link: https://www.econbiz.de/10003784658

Equity and bond market signals as leading indicators of bank fragility

Gropp, Reint; Vesala, Jukka M.; Vulpes, Giuseppe - In: Journal of money, credit and banking : JMCB 38 (2006) 2, pp. 399-428

Persistent link: https://www.econbiz.de/10003311669

Bank owners or bank managers : who is keen on risk? ; evidence from the financial crisis

Gropp, Reint; Köhler, Matthias - 2010

Persistent link: https://www.econbiz.de/10008906899

The determinants of bank capital structure

Gropp, Reint; Heider, Florian - In: Review of finance : journal of the European Finance … 14 (2010) 4, pp. 587-622

Persistent link: https://www.econbiz.de/10008823652

The determinants of capital structure : some evidence from banks

Gropp, Reint (contributor); Heider, Florian (contributor) - 2008

This paper documents that standard cross-sectional determinants of firm leverage also apply to the capital structure of large banks in the United States and Europe. We find a remarkable consistency in sign, significance and economic magnitude. Like non-financial firms, banks appear to have...

Persistent link: https://www.econbiz.de/10003671222