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Effects of securitization and covered bonds on bank stability

Arif, Ahmed - In: Research in international business and finance 53 (2020), pp. 1-19

Persistent link: https://www.econbiz.de/10012548915

The handbook of global shadow banking

Nijs, Luc - 2020

Persistent link: https://www.econbiz.de/10012244559

The impact of ESG ratings on the systemic risk of European blue-chip firms

Eratalay, Mustafa Hakan; Cortés Ángel, Ariana Paola - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-41

indicate that (1) the volatility of a stock’s returns and its centrality measures in the stock network are the main sources … exposure compared to firms with lower ESG ratings and (3) COVID-19 augmented the partial effects of volatility, centrality …

Persistent link: https://www.econbiz.de/10013168839

The impact of ESG ratings on the systemic risk of European blue-chip firms

Eratalay, Mustafa Hakan; Cortés Ángel, Ariana Paola - 2022

Persistent link: https://www.econbiz.de/10012818599

Volatility connectedness of bank stocks across the Atlantic

Yılmaz, Kamil - 2014

This paper presents an analysis of the dynamic measures of volatility connectedness of major bank stocks in the US and … direction of the volatility connectedness was from the US banks towards the EU banks. However, once the financial crisis became … global in the last quarter of 2008, volatility connectedness became bi-directional. The surge in volatility connectedness …

Persistent link: https://www.econbiz.de/10010239322

Estimating a Banking-Macro Model for Europe Using a Multi-Regime VAR

Semmler, Willi - 2012

This paper introduces a Banking-Macro Model and estimates the linkages through a Multi-Regime VAR (MRVAR). We introduce a dynamic model which is akin to the Brunnermeier and Sannikov (BS) model (2010). The banking sector is exposed to instability due to adverse movements of asset prices and...

Persistent link: https://www.econbiz.de/10013110113