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Systemic risk in Danish banks: Implementing SRISK in a Danish context
Grinderslev, Oliver Juhler; Kristiansen, Kristian Loft - 2016
The market-based SRISK measure introduced in Brownlees and Engle (2015) is used to measure the level of systemic risk in Danish banks for the period 2005-15. We find that SRISK was a very good predictor of which banks that needed public capital injections during the financial crisis of 2007-09....
Persistent link: https://www.econbiz.de/10011439967
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Measuring and stress-testing market-implied bank capital
Indergand, Martin; Jondeau, Eric; Fuster, Andreas - 2022
We propose a methodology for measuring the market-implied capital of banks by subtracting from the market value of equity (market capitalization) a credit-spread-based correction for the value of shareholders' default option. We show that without such a correction, the estimated impact of a...
Persistent link: https://www.econbiz.de/10013168743
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Measuring the capital shortfall of large U.S. banks
Jondeau, Eric; Khalilzadeh, Amir - 2018
We develop a methodology to measure the capital shortfall of commercial banks in a market downturn, which we call stressed expected loss (SEL). We simulate a market downturn as a negative shock on interest rate and credit market risk factors that reflect the banks' market-sensitive assets. We...
Persistent link: https://www.econbiz.de/10011877252
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Derivatives Holdings and Systemic Risk in the U.S. Banking Sector
Rodriguez-Moreno, Maria - 2013
This paper studies the impact of the banks' portfolio holdings of financial derivatives on the banks' individual …, outperforms the others. Using this measure we find that the banks' holdings of foreign exchange and credit derivatives increase … the banks contributions to systemic risk whereas holdings of interest rate derivatives decrease it. Nevertheless, the …
Persistent link: https://www.econbiz.de/10013091940
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Score-driven systemic risk signaling for European sovereign bond yields and CDS spreads
Lange, Rutger-Jan; Lucas, André; Siegmann, Adriaan Hendrik - 2016
We compute joint sovereign default probabilities as coincident systemic risk indicators. Instead of commonly used CDS spreads, we use government bond yield data which provide a longer data history. We show that for the more recent sample period 2008--2015, joint default probabilities based on...
Persistent link: https://www.econbiz.de/10011531096
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Measuring Interconnectedness Between Financial Institutions with Bayesian Time-Varying Vector Autoregressions
Geraci, Marco Valerio - 2018
We propose a market-based framework that exploits time-varying parameter vector autoregressions to estimate the dynamic network of financial spillover effects. We apply it to financials in the Standard & Poor's 500 index and estimate interconnectedness at the sector and institution level. At the...
Persistent link: https://www.econbiz.de/10012936644
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The impact of climate transition risks on financial stability : a systemic risk approach
Ojea-Ferreiro, Javier; Reboredo, Juan Carlos; Ugolini, … - 2022
Transitioning to a low-carbon economy involves risks for the value of financial assets, with potential ramifications for financial stability. We quantify the systemic impact on financial firms arising from changes in the value of financial assets under three climate transition scenarios that...
Persistent link: https://www.econbiz.de/10013041402
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Analyzing credit risk transmission to the non-financial sector in Europe : a network approach
Gross, Christian; Siklos, Pierre L. - 2019
Using variance decompositions in vector auto-regressions (VARs) we model a high-dimensional network of European CDS spreads to assess the transmission of credit risk to the non-financial corporate sector. Our findings suggest a sectoral clustering in the CDS network, where financial institutions...
Persistent link: https://www.econbiz.de/10012317318
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Analyzing credit risk transmission to the non-financial sector in Europe : a network approach
Gross, Christian; Siklos, Pierre L. - 2018
Using variance decompositions in vector auto-regressions (VARs) we model a high-dimensional network of European CDS spreads to assess the transmission of credit risk to the non-financial corporate sector. Our findings suggest a sectoral clustering in the CDS network, where financial institutions...
Persistent link: https://www.econbiz.de/10011978741
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Quantifying financial stability trade-offs for monetary policy : a quantile VAR approach
Chavleishvili, Sulkhan; Kremer, Manfred; Lund-Thomsen, … - 2023
We propose a novel empirical approach to inform monetary policymakers about the potential effects of policy action when facing trade-offs between financial and macroeconomic stability. We estimate a quantile vector autoregression (QVAR) for the euro area covering the real economy, monetary...
Persistent link: https://www.econbiz.de/10014343148