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Central clearing of OTC derivatives: Bilateral vs multilateral netting

Cont, Rama; Kokholm, Thomas - In: Statistics & Risk Modeling 31 (2014) 1, pp. 3-22

assumptions on heterogeneity of asset classes in terms of `riskyness' of the asset class as well as correlation of exposures … differences in riskyness and correlation across asset classes are realistically taken into account. We argue that empirically …

Persistent link: https://www.econbiz.de/10014621220

Systemic operational risk : Spillover effects of large operational losses in the European banking industry

Kaspereit, Thomas; Lopatta, Kerstin; Pakhchanyan, Suren; … - In: The Journal of Risk Finance 18 (2017) 3, pp. 252-267

Purpose The aim of this paper is to study the information content of operational loss events occurring at European financial institutions with respect to the announcing bank’s industry rivals from an equity investor’s perspective. Design/methodology/approach The authors conduct an event...

Persistent link: https://www.econbiz.de/10014902125

Basel III's ability to mitigate systemic risk

Schwerter, Stefan - In: Journal of Financial Regulation and Compliance 19 (2011) 4, pp. 337-354

Purpose – The financial crisis 2007‐2009 calls for a regulatory response. A crucial element of this task is the treatment of systemic risk. Basel III gains centre stage in this process. Thus, the purpose of this paper is to evaluate Basel III, examining its ability to reduce systemic risk....

Persistent link: https://www.econbiz.de/10014870199

The use of copulas in explaining crop yield dependence structures for use in geographic diversification

Larsen, Ryan; W. Mjelde, James; Klinefelter, Danny; … - In: Agricultural Finance Review 73 (2013) 3, pp. 469-492

using Pearson linear correlation and Kendall's tau. The use of Kendall's tau allows the implementation of copulas to …'s tau are compared to Pearson's linear correlation, a more typical measure of dependence. Using this information, functions … consistently less than the linear correlation elasticities for wheat and cotton. For sorghum, however, the copula …

Persistent link: https://www.econbiz.de/10014667333

The tale of the tail: extreme‐value patterns of financial returns

Corelli, Angelo - In: The Journal of Risk Finance 13 (2012) 5, pp. 507-516

showing a consistent improvement of the risk measurement performance. Originality/value – It is necessary to underline how the …

Persistent link: https://www.econbiz.de/10014901622

Stand-alone vs systemic risk-taking of financial institutions

Strobl, Sascha - In: The Journal of Risk Finance 17 (2016) 4, pp. 374-389

Purpose This study investigates the risk-taking behavior of financial institutions in the USA. Specifically, differences between taking risks that affect primarily the shareholders of the institution and risks contributing to the overall systemic risk of the financial sector are examined....

Persistent link: https://www.econbiz.de/10014901956

Macroprudential measures in the housing markets – a note on the empirical literature

Eerola, Essi - In: The Journal of Risk Finance 18 (2017) 3, pp. 326-335

Purpose The global financial crisis has led to increased attention on the relationship of household indebtedness and systemic risks. As a result, macroprudential measures aimed at reducing the risks have been introduced in many countries. The purpose of this paper is to review the recent...

Persistent link: https://www.econbiz.de/10014902090

Agent-based risk management – a regulatory approach to financial markets

Theobald, Thomas - In: Journal of Economic Studies 42 (2015) 5, pp. 780-820

Purpose – The purpose of this paper is to provide market risk calculation for an equity-based trading portfolio. Instead of relying on the purely stochastic internal model method which banks currently apply in line with the Basel regulatory requirements, the author also propose including...

Persistent link: https://www.econbiz.de/10014864091

The impact of the global financial crisis on firm‐level risk of the S&P 500

Loviscek, Anthony; Riley, Elven - In: Managerial Finance 39 (2013) 7, pp. 641-652

average correlation coefficient between S&P 500 firms rose during the crisis from 0.20 to 0.35, an increase of 75 percent … during major crises can be hard to achieve because the average correlation coefficient between stock returns may rise …

Persistent link: https://www.econbiz.de/10014940305

Coherent risk measurement: an introduction

Krause, Andreas - In: Balance Sheet 10 (2002) 4, pp. 13-17

preferences accurately. To overcome these problems in risk measurement a class of coherent risk measures has been proposed. We … in the literature. We find that most contributions on coherent risk measurement come from the actuarial sciences and …

Persistent link: https://www.econbiz.de/10014689085