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Analyzing systemic risk in the Chinese banking system

Huang, Qiubin; Haan, Jakob de; Scholtens, Bert - 2015

We examine systemic risk in the Chinese banking system by estimating the conditional value at risk (CoVaR), the marginal expected shortfall (MES), the systemic impact index (SII) and the vulnerability index (VI) for 16 listed banks in China. Although these measures show different patterns, our...

Persistent link: https://www.econbiz.de/10011342308

Banking stress test effects on returns and risks

Neretina, Ekaterina; Sahin, Cenkhan; Haan, Jakob de - 2014

Persistent link: https://www.econbiz.de/10010343579

Banking stress test effects on returns and risks

Sahin, Cenkhan; Haan, Jakob de; Neretina, Ekaterina - In: Journal of banking & finance 117 (2020), pp. 1-19

Persistent link: https://www.econbiz.de/10012495750

Growth and earnings persistence in banking firms: a dynamic panel investigation

Shehzad, Choudhry Tanveer; Haan, Jakob de; Scholtens, Bert - 2009

volatility of growth and profitability are bank-size dependent, and (iii) the relationship between growth and profitability of a … bank. Using a dynamic panel model estimated by GMM for a mixed sample of more than 1500 banks from 65 countries, we find no … evidence of persistence in bank growth. However, our findings suggest significant persistence in bank profitability. Moreover …

Persistent link: https://www.econbiz.de/10003883061

Micro-prudential regulation and banks' systemic risk

Haan, Jakob de; Jin, Zhenghao; Chen Zhou - 2019

Persistent link: https://www.econbiz.de/10012116706

Spillovers from systemic bank defaults

Mink, Mark; Haan, Jakob de - 2014

bank market values hardly respond to changes in the default risk of individual systemic banks. Together, however, changes …

Persistent link: https://www.econbiz.de/10010354063

Asymmetric monetary transmission in EMU : the robustness of VAR conclusions and Cecchettis̕ legal family theory

Elbourne, Adam (contributor); Haan, Jakob de (contributor) - 2004

We review studies on monetary transmission in the EU countries using the VAR approach and analyse why they often lead to divergent outcomes. Firstly, we estimate 43 VAR models across ten EU countries and compare the robustness of the ranking of the magnitudes of the price and output responses....