Financial systemic risk – defined as the risk of collapse of an entire financial system vis-à-vis any one individual financial institution – is making inroads into academic research in the aftermath of the late 2000s Global Financial Crisis. We shed light on this new concept by...

A reflection on the lackluster growth over the decade since the Global Financial Crisis has renewed interest in preventative measures for a long-standing problem. Advances in machine learning algorithms during this period present promising forecasting solutions. In this context, the paper...

The theoretical literature remains inconclusive on whether changes in bank exposure towards the domestic sovereign have an adverse effect on the sovereign risk position via a diabolic loop in the sovereign-bank nexus or reduce perceived default risk by acting as a disciplinary device for the...

This paper derives -- considering a Gaussian setting -- closed form solutions of the statistics that Adrian and Brunnermeier (2010) and Acharya et al. (2009) have suggested as measures of systemic risk to be attached to individual banks. The statistics equal the product of statistic specific...

This study aims to investigate and provide further insight into the dynamics of higher moments in the estimation of optimal hedge ratios during the recent credit crisis period by applying the Gram-Charlier expansion series. Furthermore, it compares the performance of the proposed model with...

This paper investigates the possible existence and nature of the day-of-the-week effect during the contemporary financial crisis. For this reason six regional equity markets are selected: five emerging i.e. Turkey, Bulgaria, Romania, Ukraine and Cyprus, and one mature i.e. Greece. Our main focus...

In this paper we present a new approach to analyse the interconnectedness between a macro-level network and a local-level network. Our methodology is developed on the Diebold and Yilmaz connectedness measure and it considers the presence of entities within a global network which can influence...

This paper presents a tractable model of non-linear dynamics of market returns using a Langevin approach.Due to non-linearity of an interaction potential, the model admits regimes of both small and large return fluctuations. Langevin dynamics are mapped onto an equivalent quantum mechanical (QM)...

This paper investigates the nature of the day-of-the-week effects during the contemporary financial crisis. For this reason five equity markets are selected: Greece, Turkey, Bulgaria, Romania and Cyprus. Our main focus is in the possible change in the markets' characteristics before and during...