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Measuring and testing for the systemically important financial institutions
Castro, Carlos; Ferrari, Stijn - 2012
This paper analyses Delta CoVaR proposed by Adrian and Brunnermeier (2008) as a tool for identifying/ranking systemically important institutions and assessing interconnectedness. We develop a test of significance of Delta CoVaR that allows determining whether or not a financial institution can...
Persistent link: https://www.econbiz.de/10011506748
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The effect of the interbank network structure on contagion and financial stability
Georg, Co-Pierre - 2010
influence of the network topology on contagion in financial networks. This paper therefore compares contagion in Barabási … deposits. Contagion effects from the default of a large bank are studied in different network topologies. The results indicate … that contagion is more severe in random and scale-free networks than in small-world networks. This situation changes when …
Persistent link: https://www.econbiz.de/10010334482
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A network model of financial system resilience
Anand, Kartik; Gai, Prasanna; Kapadia, Sujit; Brennan, Simon - 2011
contagion and aggregate losses in a financial system. Systemic instability is explored in a financial network comprising three …
Persistent link: https://www.econbiz.de/10010281490
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The systemic risk of US oil and natural gas companies
Massimiliano, Caporin; Fulvio, Fontini; Roberto, Panzica - 2022
We analyse the evolution of the systemic risk impact of oil and natural gas companies since 2000. This period is characterised by several events that affected energy source markets: the real effect of the global financial crisis, the explosion of shale production and the diffusion of the...
Persistent link: https://www.econbiz.de/10014278543
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The dynamics of spillover effects during the European sovereign debt crisis
Alter, Adrian; Beyer, Andreas - 2013
transmission from or to sovereigns and banks are aggregated as a Contagion index (CI). This index is disentangled into four …) vice-versa. We highlight the impact of policy-related events along the different components of the contagion index. The …
Persistent link: https://www.econbiz.de/10011605603
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A multi-level network approach to spillovers analysis: An application to the Maltese domestic investment funds sector
Meglioli, Francesco; Gauci, Stephanie - 2021
In this paper we present a new approach to analyse the interconnectedness between a macro-level network and a local-level network. Our methodology is developed on the Diebold and Yilmaz connectedness measure and it considers the presence of entities within a global network which can influence...
Persistent link: https://www.econbiz.de/10012653461
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The dynamics of spillover effects during the European sovereign debt turmoil
Alter, Adrian; Beyer, Andreas - 2012
transmission from or to sovereigns and banks are aggregated as a Contagion index (CI). This index is disentangled into four …) vice-versa. We highlight the impact of policy-related events along the different components of the contagion index. The …
Persistent link: https://www.econbiz.de/10010311789
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Systemic risk for financial institutions of major petroleum-based economies: The role of oil
Khalifa, Ahmed; Caporin, Massimiliano; Costola, Michele; … - 2017
This paper examines the relationship between oil price movements and systemic risk of many financial institutions in major petroleum-based economies. We estimate ΔcoVaR for those institutions and thereby observe the presence of elevated increases in the levels corresponding to the subprime and...
Persistent link: https://www.econbiz.de/10012064299
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Systemic Illiquidity Noise-based measure: A solution for systemic liquidity monitoring in frontier and emerging markets
Dziwok, Ewa; Kara's, Marta A. - In: Risks 9 (2021) 7, pp. 1-29
The paper presents an alternative approach to measuring systemic illiquidity applicable to countries with frontier and emerging financial markets, where other existing methods are not applicable. We develop a novel Systemic Illiquidity Noise (SIN)-based measure, using the Nelson- Siegel-Svensson...
Persistent link: https://www.econbiz.de/10013200790
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A sensitivities based CoVaR approach to asset commonality and its application to SSM banks
Del Vecchio, Leonardo; Giglio, Carla; Shaw, Frances; … - 2022
One important source of systemic risk can arise from asset commonality among financial institutions. This indirect interconnection may occur when financial institutions invest in similar or correlated assets and it is also described as overlapping portfolios. In this paper, we propose a new...
Persistent link: https://www.econbiz.de/10014278526