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Leverage and systemic risk pro-cyclicality in the Chinese financial system
Cincinelli, Peter; Pellini, Elisabetta; Urga, Giovanni - In: International review of financial analysis 78 (2021), pp. 1-22
Persistent link: https://www.econbiz.de/10013253456
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Leverage and Systemic Risk Pro-Cyclicality in the Chinese Financial System
Cincinelli, Peter; Pellini, Elisabetta; Urga, Giovanni - 2021
In this paper, we investigate the relationship between balance sheet size and leverage (i.e., leverage pro-cyclicality) and the pro-cyclicality of systemic risk using three systemic risk measures such as DCoVaR (Adrian & Brunnermeier, 2016), MES (Acharya et al., 2017), SRISK (Brownlees & Engle,...
Persistent link: https://www.econbiz.de/10013211839
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Is there an optimal level of leverage? : the case of banks and non-bank institutions in Europe
Cincinelli, Peter; Pellini, Elisabetta; Urga, Giovanni - In: International review of financial analysis 94 (2024), pp. 1-15
Persistent link: https://www.econbiz.de/10014543993