Narrow search
Showing 1 - 10 of 11,320
Cover Image
Assessing the contribution of banks, insurance and other financial services to systemic risk
Bernal, Oscar; Gnabo, Jean-Yves; Guilmin, Grégory - In: Journal of Banking & Finance 47 (2014) C, pp. 270-287
The aim of this paper is to contribute to the debate on systemic risk by assessing the extent to which distress within the main different financial sectors, namely, the banking, insurance and other financial services industries contribute to systemic risk. To this end, we rely on the ΔCoVaR...
Persistent link: https://www.econbiz.de/10011065630
Cover Image
Quantile Regression in Risk Calibration
Chao, Shih-Kang; Härdle, Wolfgang Karl; Wang, Weining - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012
stress affects other factors. The CoVaR (Conditional VaR) framework has been developed for this purpose. The basic technical … elements of CoVaR estimation are two levels of quantile regression: one on market risk factors; another on individual risk … modeling framework for CoVaR is proposed. A partial linear model (PLM) is analyzed. In applying the technology to stock data …
Persistent link: https://www.econbiz.de/10009651900
Cover Image
Model Risk of Risk Models
Danielsson, Jon; James, Kevin; Valenzuela, Marcela; … - Federal Reserve Board (Board of Governors of the … - 2014
This paper evaluates the model risk of models used for forecasting systemic and market risk. Model risk, which is the potential for different models to provide inconsistent outcomes, is shown to be increasing with and caused by market uncertainty. During calm periods, the underlying risk...
Persistent link: https://www.econbiz.de/10010784179
Cover Image
Model risk of risk models
Danielsson, Jon; James, Kevin R.; Valenzuela, Marcela; … - London School of Economics (LSE) - 2014
This paper evaluates the model risk of models used for forecasting systemic and market risk. Model risk, which is the potential for different models to provide inconsistent outcomes, is shown to be increasing with and caused by market uncertainty. During calm periods, the underlying risk...
Persistent link: https://www.econbiz.de/10011163510
Cover Image
Measuring the Interdependence of Banks in Hong Kong
Fong, Tom; Fung, Laurence; Lam, Lillie; Yu, Ip-wing - Hong Kong Monetary Authority - 2009
This paper assesses systemic linkages among banks in Hong Kong using the risk measure "CoVaR" derived from quantile … regression. The CoVaR measure captures the co-movements of banks¡¯ default risk by taking into account their nonlinear …
Persistent link: https://www.econbiz.de/10008501741
Cover Image
Analysing Interconnectivity among Economies
Wong, Alfred; Fong, Tom - Hong Kong Monetary Authority - 2010
As international financial integration gathers pace, interconnectivity has increased tremendously among financial institutions, financial markets and financial systems, a phenomenon to which the recent global financial crisis perhaps provided the best testimony. The interconnectivity among...
Persistent link: https://www.econbiz.de/10010628208
Cover Image
Analysing interconnectivity among economies
Wong, Alfred Y-T.; Fong, Tom Pak Wing - In: Emerging Markets Review 12 (2011) 4, pp. 432-442
As international financial integration gathers pace, interconnectivity has increased tremendously among financial institutions, financial markets and financial systems, a phenomenon to which the recent global financial crisis perhaps provided the best testimony. The interconnectivity among...
Persistent link: https://www.econbiz.de/10010574586
Cover Image
The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio
Busse, Marc; Dacorogna, Michel; Kratz, Marie - ESSEC Business School - 2013
Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit it. One of them is the existence of systemic risk that affects all the policies at the same time. We introduce here a probabilistic approach to examine the consequences of its...
Persistent link: https://www.econbiz.de/10010832994
Cover Image
The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio
Busse, Marc; Dacorogna, Michel; Kratz, Marie - HAL - 2013
Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit it. One of them is the existence of systemic risk that affects all the policies at the same time. We introduce here a probabilistic approach to examine the consequences of its...
Persistent link: https://www.econbiz.de/10010899196
Cover Image
The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio
Busse, Marc; Dacorogna, Michel; Kratz, Marie - In: Risks 2 (2014) 3, pp. 260-276
Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit it. One of them is the existence of systemic risk that affects all of the policies at the same time. We introduce here a probabilistic approach to examine the consequences of...
Persistent link: https://www.econbiz.de/10011030572