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On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms
Diebold, Francis X.; Yılmaz, Kamil - 2011
We propose several connectedness measures built from pieces of variance decompositions, and we argue that they provide natural and insightful measures of connectedness among financial asset returns and volatilities. We also show that variance decompositions define weighted, directed networks, so...
Persistent link: https://www.econbiz.de/10010500191
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A Pigovian Approach to Liquidity Regulation
Perotti, Enrico; Suarez, Javier - 2011
This paper discusses liquidity regulation when short-term funding enables credit growth but generates negative systemic … containing risk and preserving credit quality, while quantity-based fundingratios are distorsionary. Liquidity buffers are either … overconfidence), excess credit and liquidity risk are best controlled with net fundingratios. Taxes on short-term funding emerge …
Persistent link: https://www.econbiz.de/10010325833
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Quantitative analysis of financial market infrastructures: further perspectives on financial stability
Laine, Tatu (contributor) - 2015
This simulator seminar book includes twelve chapters dealing with various aspects of quantitative analysis of financial market infrastructures. The topics include, among others, systemic risks, participant behavior, and new monitoring methods of various payment systems. The methodologies vary...
Persistent link: https://www.econbiz.de/10012148914
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Fallacies, irrelevant facts, and myths in the discussion of capital regulation: Why bank equity is not expensive
Admati, Anat R.; DeMarzo, Peter M.; Hellwig, Martin; … - 2010
We examine the pervasive view that equity is expensive which leads to claims that high capital requirements are costly and would affect credit markets adversely. We find that arguments made to support this view are either fallacious, irrelevant, or very weak. For example, the return on equity...
Persistent link: https://www.econbiz.de/10010286715
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Shadow banking: Financial intermediation beyond banks
Jokivuolle, Esa (contributor) - 2018
Shadow banking is a broad concept. A possible definition is that it comprises non-bank institutions which undertake bank-like activities. Another characteristic is that the sector is overall less regulated. Therefore there are still shortcomings in systematic collection of information of the sector.
Persistent link: https://www.econbiz.de/10011985212
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Evaluating internal credit rating systems depending on bank size
Frerichs, Hergen; Wahrenburg, Mark - 2003
Under a new Basel capital accord, bank regulators might use quantitative measures when evaluating the eligibility of internal credit rating systems for the internal ratings based approach. Based on data from Deutsche Bundesbank and using a simulation approach, we find that it is possible to...
Persistent link: https://www.econbiz.de/10010316304
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Conditional systemic risk with penalized copula
Okhrin, Ostap; Ristig, Alexander; Sheen, Jeffrey R.; … - 2015
Financial contagion and systemic risk measures are commonly derived from conditional quantiles by using imposed model assumptions such as a linear parametrization. In this paper, we provide model free measures for contagion and systemic risk which are independent of the specifcation of...
Persistent link: https://www.econbiz.de/10011380687
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Financial network systemic risk contributions
Hautsch, Nikolaus; Schaumburg, Julia; Schienle, Melanie - 2011
We propose the systemic risk beta as a measure for financial companies' contribution to systemic risk given network interdependence between firms' tail risk exposures. Conditional on statistically pre-identified network spillover effects and market and balance sheet information, we define the...
Persistent link: https://www.econbiz.de/10010281566
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Financial network systemic risk contributions
Hautsch, Nikolaus; Schaumburg, Julia; Schienle, Melanie - 2012
We propose the realized systemic risk beta as a measure for financial companies' contribution to systemic risk given network interdependence between firms' tail risk exposures. Conditional on statistically pre-identified network spillover effects and market and balance sheet information, we...
Persistent link: https://www.econbiz.de/10010318787
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TENET: Tail-Event driven NETwork risk
Härdle, Wolfgang Karl; Sirotko-Sibirskaya, Natalia; … - 2014
We propose a semiparametric measure to estimate systemic interconnectedness across financial institutions based on tail-driven spill-over effects in a ultra-high dimensional framework. Methodologically, we employ a variable selection technique in a time series setting in the context of a...
Persistent link: https://www.econbiz.de/10010491451