Showing 1 - 10 of 27
and can be estimated conveniently by maximum likelihood. The spatial dependence parameter is assumed to follow a … dependence after the Greek default in winter 2012, which can be explained economically by a change in bank regulation. …
Persistent link: https://www.econbiz.de/10010491085
A macro-prudential policy maker can manage risks to financial stability only if currentand future risks can be reliably assessed. We propose a novel framework to assessfinancial system risk. Using a dynamic factor framework based on state-space methods, we model latent macro-financial and credit...
Persistent link: https://www.econbiz.de/10011382067
We study the impact of increasingly negative central bank policy rates on banks' propensity to become undercapitalized in a financial crisis ('SRisk'). We find that the risk impact of negative rates is moderate, and depends on banks' business models: Banks with diversified income streams are...
Persistent link: https://www.econbiz.de/10011719935
We study the impact of increasingly negative central bank policy rates on banks' propensity to become undercapitalized in a financial crisis (`SRisk'). We find that the risk impact of negative rates depends on banks' business models: Large banks with diversified income streams are perceived as...
Persistent link: https://www.econbiz.de/10011642197
We introduce a new model for time-varying spatial dependence. The model extends the well-known static spatial lag model … study the information theoretic optimality of the updating steps for the time-varying spatial dependence parameter. We adopt … the model to empirically investigate the spatial dependence between eight European sovereign CDS spreads over the period …
Persistent link: https://www.econbiz.de/10010391531
We compute joint sovereign default probabilities as coincident systemic risk indicators. Instead of commonly used CDS spreads, we use government bond yield data which provide a longer data history. We show that for the more recent sample period 2008--2015, joint default probabilities based on...
Persistent link: https://www.econbiz.de/10011531096
We introduce a new international model for the systematic distress risk of financial institutions from the US, the European Union, and the Asia-Pacific region. Our proposed dynamic factor model can be represented as a nonlinear, non-Gaussian state space model with parameters that we estimate...
Persistent link: https://www.econbiz.de/10010786460
We propose a novel framework to assess financial system risk. Using a dynamic factor framework based on state-space methods, we construct coincident measures (‘thermometers’) and a forward looking indicator for the likelihood of simultaneous failure of a large number of financial...
Persistent link: https://www.econbiz.de/10011605373
We propose a novel framework to assess financial system risk. Using a dynamic factor framework based on state-space methods, we construct coincident measures (‘thermometers’) and a forward looking indicator for the likelihood of simultaneous failure of a large number of financial...
Persistent link: https://www.econbiz.de/10008917864
A macro-prudential policy maker can manage risks to financial stability only if current and future risks can be reliably assessed. We propose a novel framework to assess financial system risk. Using a dynamic factor framework based on state-space methods, we model latent macro-financial and...
Persistent link: https://www.econbiz.de/10013135514