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Systemic risk in Danish banks: Implementing SRISK in a Danish context
Grinderslev, Oliver Juhler; Kristiansen, Kristian Loft - 2016
The market-based SRISK measure introduced in Brownlees and Engle (2015) is used to measure the level of systemic risk in Danish banks for the period 2005-15. We find that SRISK was a very good predictor of which banks that needed public capital injections during the financial crisis of 2007-09....
Persistent link: https://www.econbiz.de/10011439967
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Measuring and stress-testing market-implied bank capital
Indergand, Martin; Jondeau, Eric; Fuster, Andreas - 2022
We propose a methodology for measuring the market-implied capital of banks by subtracting from the market value of equity (market capitalization) a credit-spread-based correction for the value of shareholders' default option. We show that without such a correction, the estimated impact of a...
Persistent link: https://www.econbiz.de/10013168743
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Measuring the capital shortfall of large U.S. banks
Jondeau, Eric; Khalilzadeh, Amir - 2018
We develop a methodology to measure the capital shortfall of commercial banks in a market downturn, which we call stressed expected loss (SEL). We simulate a market downturn as a negative shock on interest rate and credit market risk factors that reflect the banks' market-sensitive assets. We...
Persistent link: https://www.econbiz.de/10011877252
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Derivatives Holdings and Systemic Risk in the U.S. Banking Sector
Rodriguez-Moreno, Maria - 2013
This paper studies the impact of the banks' portfolio holdings of financial derivatives on the banks' individual …, outperforms the others. Using this measure we find that the banks' holdings of foreign exchange and credit derivatives increase … the banks contributions to systemic risk whereas holdings of interest rate derivatives decrease it. Nevertheless, the …
Persistent link: https://www.econbiz.de/10013091940
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Systemic Risk Measures and Their Viability for Banking Supervision
Döring, Benjamin - 2016
We propose a criteria-based framework to assess the viability of systemic risk measures (SRMs) as a monitoring tool for banking supervision and investigate the determinants of the banking system's overall level of systemic risk. Comparing three prominent SRMs we find that all of them possess...
Persistent link: https://www.econbiz.de/10013006220
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Derivatives holdings and systemic risk in the US banking sector
Mayordomo, Sergio; Rodriguez-Moreno, Maria; Peña … - In: Journal of banking & finance 45 (2014), pp. 84-104
Persistent link: https://www.econbiz.de/10010466632
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The impact of climate transition risks on financial stability : a systemic risk approach
Ojea-Ferreiro, Javier; Reboredo, Juan Carlos; Ugolini, … - 2022
Transitioning to a low-carbon economy involves risks for the value of financial assets, with potential ramifications for financial stability. We quantify the systemic impact on financial firms arising from changes in the value of financial assets under three climate transition scenarios that...
Persistent link: https://www.econbiz.de/10013041402
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The credit quality channel : modeling contagion in the interbank market
Fink, Kilian; Krüger, Ulrich; Meller, Barbara; Wong, … - 2015
We propose an algorithm to model contagion in the interbank market via what we term the credit quality channel. In existing models on contagion via interbank credit, external shocks to banks often spread to other banks only in case of a default. In contrast, shocks are transmitted via asset...
Persistent link: https://www.econbiz.de/10011381702
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Short-selling, leverage and systemic risk
Pais, Amelia; Stork, Philip - 2013
During the Global Financial Crisis, regulators imposed short-selling bans to protect financial institutions. The rationale behind the bans was that "bear raids", driven by short-sellers, would increase the individual and systemic risk of financial institutions, especially for institutions with...
Persistent link: https://www.econbiz.de/10010226885
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Transatlantic systemic risk
Gehde-Trapp, Monika; Wewel, Claudio Nicolai - 2013 - This version: June 12, 2013
In this paper we study systemic risk for the US and Europe. We show that banks' exposures to common risk factors are crucial for systemic risk. We come to this conclusion by first showing that relations between US and European banks are smaller than within each region. We then show that European...
Persistent link: https://www.econbiz.de/10009784871