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coming collapse of China is always coming, never arriving. Thomas Orlik, a veteran of more than a decade in Beijing, turns … the spotlight on China's fragile fundamentals, and resources for resilience. Drawing on discussions with Communist cadres …, shadow bankers, and migrant workers, Orlik pieces together a unique perspective on China's past, present, and possible …
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This study applies a novel way of measuring, quantifying and modelling the systemic risk within the financial system. The magnitude of risk spill over effects is gauged by introducing a specific weighting scheme. This approach originally stems from spatial econometrics. The methodology allows...
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Die Finanzkrise von 2007-2008 hat die Mängel der Finanzsystemregulierung weltweit offengelegt. Der vom Basler Ausschuss für Bankenaufsicht erarbeitete Regulierungsansatz Basel II hat sich als mangelhaft erwiesen. Unter Zuhilfenahme eines agentenbasierten Simulationsmodells, welches die...
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We investigate how the lending activities of a multinational bank’s affiliates located abroad are affected by funding difficulties in view of the financial crisis. For this, we consider transaction-induced changes in long-term lending to the private sector of 40 countries by the affiliates of...
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This paper uses the method developed by Bollerslev and Todorov (2011b) to estimate risk premia for extreme events for the US and the German stock markets. The method extracts jump tail measures from high-frequency futures price data and from options data. In a second step, jump tail...
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