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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

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

Systemic risk in an interconnected banking system with endogenous asset markets

Bluhm, Marcel; Krahnen, Jan Pieter - 2014

We analyze the emergence of systemic risk in a network model of interconnected bank balance sheets. The model incorporates multiple sources of systemic risk, including size of financial institutions, direct exposure from interbank lendings, and asset fire sales. We suggest a new macroprudential...

Persistent link: https://www.econbiz.de/10010339532

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

Default Risk in an Interconnected Banking System with Endogeneous Asset Markets

Bluhm, Marcel - 2012

This paper analyzes the emergence of systemic risk in a network model of interconnected bank balance sheets. Given a shock to asset values of one or several banks, systemic risk in the form of multiple bank defaults depends on the strength of balance sheets and asset market liquidity. The price...

Persistent link: https://www.econbiz.de/10013114094

Default risk in an interconnected banking system with endogeneous asset markets

Bluhm, Marcel; Krahnen, Jan Pieter - 2011

Persistent link: https://www.econbiz.de/10009295542

Interbank credit exposures and financial stability

Schneorson, Oren - 2022

This paper investigates how interbank credit exposures affect financial stability. Policy makers often see such exposures as undermining stability by exacerbating cascading losses through the financial system. I develop a model that features a trade-off between cascading losses and risk-sharing....

Persistent link: https://www.econbiz.de/10013350529

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

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

Cocos, contagion and systemic risk

Chan, Stephanie; Wijnbergen, Sweder van - 2014

CoCo's (contingent convertible capital) are designed to convert from debt to equity when banks need it most. Using a Diamond-Dybvig model cast in a global games framework, we show that while the CoCo conversion of the issuing bank may bring the bank back into compliance with capital...

Persistent link: https://www.econbiz.de/10010395088