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Essays in macroeconomics and finance
Sydow, Matthias - 2009
Persistent link: https://www.econbiz.de/10003840762
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A liquidity risk index as a regulatory tool for systemically important banks? : an empirical assessment across two financial crises
Gianfelice, Gianfranco; Marotta, Giuseppe; Torricelli, … - In: Applied economics 47 (2015) 1/3, pp. 129-147
Persistent link: https://www.econbiz.de/10010463946
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Modelling fire sale contagion across banks and non-banks
Caccioli, Fabio; Ferrara, Gerardo; Ramadiah, Amanah - 2020
Persistent link: https://www.econbiz.de/10012542197
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Simulating fire-sales in a banking and shadow banking system
Calimani, Susanna; Hałaj, Grzegorz; Żochowski, Dawid - 2017
We develop an agent based model of traditional banks and asset managers. Our aim is to investigate the channels of contagion of shocks to asset prices within and between the two financial sectors, including the effects of fire sales and their impact on financial institutions' balance sheets. We...
Persistent link: https://www.econbiz.de/10011976961
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Stock return co-movement and systemic risk in the Turkish banking system
Binici, Mahir; Köksal, Bülent; Orman, Cüneyt - In: Central Bank review / The Central Bank of the Republic … 13 (2013), pp. 41-63
Persistent link: https://www.econbiz.de/10010340979
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Big banks, idiosyncratic volatility, and systemic risk
Fernholz, Ricardo T.; Koch, Christoffer - In: The American economic review 107 (2017) 5, pp. 603-607
Persistent link: https://www.econbiz.de/10011786211
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Dynamic comovement among banks, systemic risk, and the macroeconomy
Kapinos, Pavel; Kishor, N. Kundan; Ma, Jun - In: Journal of banking & finance 138 (2022), pp. 1-14
Persistent link: https://www.econbiz.de/10013461953
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Forecasting crash risk in U.S. bank returns : the role of credit booms
Mihai, Marius M.; Mansur, Iqbal - In: The journal of corporate finance : contracting, … 76 (2022), pp. 1-25
Persistent link: https://www.econbiz.de/10013494275
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Diversification and bank stability
Liang, Shuo; Moreira, Fernando; Lee, Joosung - In: Economics letters 193 (2020), pp. 1-3
Persistent link: https://www.econbiz.de/10012509107
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Modelling fire sale contagion across banks and non-banks
Caccioli, Fabio; Ferrara, Gerardo; Ramadiah, Amanah - In: Journal of financial stability 71 (2024), pp. 1-16
Persistent link: https://www.econbiz.de/10014533533