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Systemic risk in Danish banks: Implementing SRISK in a Danish context
Grinderslev, Oliver Juhler; Kristiansen, Kristian Loft - 2016
The market-based SRISK measure introduced in Brownlees and Engle (2015) is used to measure the level of systemic risk in Danish banks for the period 2005-15. We find that SRISK was a very good predictor of which banks that needed public capital injections during the financial crisis of 2007-09....
Persistent link: https://www.econbiz.de/10011439967
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Measuring and stress-testing market-implied bank capital
Indergand, Martin; Jondeau, Eric; Fuster, Andreas - 2022
We propose a methodology for measuring the market-implied capital of banks by subtracting from the market value of equity (market capitalization) a credit-spread-based correction for the value of shareholders' default option. We show that without such a correction, the estimated impact of a...
Persistent link: https://www.econbiz.de/10013168743
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Measuring the capital shortfall of large U.S. banks
Jondeau, Eric; Khalilzadeh, Amir - 2018
We develop a methodology to measure the capital shortfall of commercial banks in a market downturn, which we call stressed expected loss (SEL). We simulate a market downturn as a negative shock on interest rate and credit market risk factors that reflect the banks' market-sensitive assets. We...
Persistent link: https://www.econbiz.de/10011877252
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Derivatives Holdings and Systemic Risk in the U.S. Banking Sector
Rodriguez-Moreno, Maria - 2013
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 the banks' holdings of foreign exchange and credit derivatives increase … the banks contributions to systemic risk whereas holdings of interest rate derivatives decrease it. Nevertheless, the …
Persistent link: https://www.econbiz.de/10013091940
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Systemic Risk Measures and Their Viability for Banking Supervision
Döring, Benjamin - 2016
We propose a criteria-based framework to assess the viability of systemic risk measures (SRMs) as a monitoring tool for banking supervision and investigate the determinants of the banking system's overall level of systemic risk. Comparing three prominent SRMs we find that all of them possess...
Persistent link: https://www.econbiz.de/10013006220
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Systemic risk in an interconnected banking system with endogenous asset markets
Bluhm, Marcel; Krahnen, Jan Pieter - 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/10010339532
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Using Shapley's Asymmetric Power Index to Measure Banks' Contributions to Systemic Risk
Garratt, Rodney - 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/10013098830
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Pitfalls of central clearing in the presence of systematic risk
Kubitza, Christian; Pelizzon, Loriana; Getmansky, Mila - 2019
derivatives markets, and its interaction with systematic risk, portfolio directionality, and loss sharing. Previous studies …
Persistent link: https://www.econbiz.de/10012062171
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The pitfalls of central clearing in the presence of systematic risk
Kubitza, Christian; Pelizzon, Loriana; Getmansky, Mila - 2018
derivatives markets, and highlight that recent central clearing reforms might not incentivize market participants to clear … derivatives. …
Persistent link: https://www.econbiz.de/10011923506
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The pitfalls of central clearing in the presence of systematic risk
Kubitza, Christian; Pelizzon, Loriana; Getmansky, Mila - 2018 - This version: November 2018
derivatives markets, and highlight that recent central clearing reforms might not incentivize market participants to clear … derivatives. …
Persistent link: https://www.econbiz.de/10011932176