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A new approach to modelling banks' equity volatility : adding time-to-maturity jumps
Grinderslev, Oliver Juhler; Kristiansen, Kristian Loft - 2017
investor worries over whether the bank will experience funding or solvency problems. In line with this we find that calm … robustness of a bank when it comes to risks that affect both the solvency and liquidity situation of the bank. …
Persistent link: https://www.econbiz.de/10011740702
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Liquidity, Systemic Risk, and the Bankruptcy Treatment of Financial Contracts
Mokal, Riz - 2016
Persistent link: https://www.econbiz.de/10013002918
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Stress scenarios from the tails of historical distributions of macro-financial risk factors in Denmark
Abildgren, Kim - 2013
The paper puts the outcome during the most recent financial crisis in a historical perspective by taking a closer look at the frequency of extreme events in the economic history of Denmark, in some cases based on time series back to the late 1600s. We focus on the frequency distribution of a...
Persistent link: https://www.econbiz.de/10010199517
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Measuring Systemic Risk : A Comparison of Alternative Market-Based Approaches
Kleinow, Jacob - 2020
This paper compares four commonly used systemic risk metrics using data on U.S. financial institutions over the period 2005-2014. The four systemic risk measures examined are the (i) marginal expected shortfall, (ii) codependence risk, (iii) delta conditional value at risk, and (iv) lower tail...
Persistent link: https://www.econbiz.de/10012855872
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The Riskiness of Credit Allocation and Financial Stability
Brandao-Marques, Luis - 2019
We explore empirically how the time-varying allocation of credit across firms with heterogeneous credit quality matters for financial stability outcomes. Using firm-level data for 55 countries over 1991-2016, we show that the riskiness of credit allocation, captured by Greenwood and Hanson...
Persistent link: https://www.econbiz.de/10012859862
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Financial Amplification Mechanisms and the Federal Reserve's Supply of Liquidity During the Crisis
Sarkar, Asani - 2014
The small decline in the value of mortgage-related assets relative to the large total losses associated with the financial crisis suggests the presence of financial amplification mechanisms, which allow relatively small shocks to propagate through the financial system. We review the literature...
Persistent link: https://www.econbiz.de/10013069263
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Dynamic CoVaR
Pinheiro, Jorge; C. Herculano, Miguel - 2021
Its conceptual appeal has made the Conditional Value at Risk (CoVaR) one of the most influential systemic risk indicators. Despite its popularity, an outstanding methodological challenge may hamper the CoVaRs’ accuracy in measuring the time-series dimension of systemic risk. The dynamics of...
Persistent link: https://www.econbiz.de/10013211507
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Financial intermediaries and the macroeconomy : evidence from a high-frequency identification
Ottonello, Pablo; Song, Wenting - 2022 - Last updated: May 20, 2022
We provide empirical evidence of the causal effects of changes in financial intermediaries' net worth on the aggregate economy. Our strategy identifies financial shocks as high-frequency changes in the market value of intermediaries' net worth in a narrow window around their earnings...
Persistent link: https://www.econbiz.de/10013252981
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Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications
Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian - 2020 - This version: January 2020
We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside liquidity (EDL) risks. The cross-section of stock returns reflects a premium if a stock's return (liquidity) is lowest at the same time when the market liquidity (return) is lowest....
Persistent link: https://www.econbiz.de/10012175486
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The determinants of cross-border bank flows to emerging markets : new empirical evidence on the spread of financial crises
Herrmann, Sabine; Mihaljek, Dubravko - 2010
This paper studies the nature of spillover effects in bank lending flows from advanced to the emerging market economies … cross-border bank flows from 17 advanced to 28 emerging market economies in Asia, Latin America and central and eastern … determinants of cross-border bank flows. Greater global risk aversion and expected financial market volatility seem to have been …
Persistent link: https://www.econbiz.de/10008653395