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Artificial intelligence (AI) is rapidly changing how the financial system is operated, taking over core functions because of cost savings and operational efficiencies. AI will assist both risk managers and microprudential authorities. It meanwhile has the potential to destabilise the financial...
Persistent link: https://www.econbiz.de/10012213445
Persistent link: https://www.econbiz.de/10015407188
Using the test of Granger-causality in tail of Hong et al. (2009), we define and construct Granger-causality tail risk networks between 33 systemically important banks (G-SIBs) and 36 sovereign bonds worldwide. Our purpose is to exploit the structure of the Granger-causality tail risk networks...
Persistent link: https://www.econbiz.de/10012937423
The research question is to investigate if supplementary tethered currencies might reduce financial system risks and provide a superior fallback position to Bitcoin in a crisis? To investigate the question, a hypothetical $Z supplementary cost carrying currency is considered whose value is...
Persistent link: https://www.econbiz.de/10013033895
La versione italiana di questo documento è disponibile al seguente link: https://ssrn.com/abstract=3663335The present Report analyses the economic impact of the Covid-19 pandemic as of the first semester of 2020 both in the domestic and in the international framework. Some analysis are updated...
Persistent link: https://www.econbiz.de/10013227096
I examine the timeliness of write-downs taken by U.S. financial institutions during the financial crisis of 2007–2008. The timeliness of write-downs is measured by benchmarking the quarterly accounting write-down schedule with the devaluation schedule implied by exposure-specific credit...
Persistent link: https://www.econbiz.de/10013134277
Contingent claims analysis (CCA) has formed part of the core of modern financial theory since the early 1970s as basis for many credit risk measurement methods. The adaptation of CCA for the measurement and analysis of systemic risk that arises due to the cross-exposures of economic sectors is a...
Persistent link: https://www.econbiz.de/10013141164
We study the extent to which the impact of tail risk spillovers, originating in the financial sector and affecting real-economy firms, depends on the level of cash holdings and the financial conditions of the firm. Empirical evidence on 4,320 firms located in 16 European countries, from 2003 to...
Persistent link: https://www.econbiz.de/10013056195
Der Beitrag von Institutionen-Vielfalt im Finanzsektor zu nachhaltigem Wachstum und Finanzstabilität - insbesondere die …
Persistent link: https://www.econbiz.de/10012153567
A growing consensus exists that climate change risks have important implications for financial stability. Following Weyzig et all (2014) methodology, this paper quantifies the (syndicated) loan exposure to elevated environmental risk sectors of the banking system in the US, EU, China, Japan and...
Persistent link: https://www.econbiz.de/10012931811