Showing 1 - 10 of 2,406
The relevance of sustainable development in the financial institution and its value is significant in today's financial landscape. This research aims to evaluate the efficiency of converting sustainable development outcomes, quantified through ESG, into a financial institution's valuation,...
Persistent link: https://www.econbiz.de/10014460414
We develop an agent-based model of traditional banks and asset managers to investigate the contagion risk related to …, banks which are active in both the interbank and securities markets may channel financial distress between the two markets … exacerbate contagion when their voluntary liquid buffers are fully utilised. Fourth, a system with larger and more interconnected …
Persistent link: https://www.econbiz.de/10012163949
We examine whether bank connections via common mutual fund ownership serve as a contagion channel affecting the … systemic risk of the banking system. We first document that the extent of a bank’s connection with other banks via common …
Persistent link: https://www.econbiz.de/10012595430
We apply text analysis to Twitter messages in Spanish to build a sentiment- based risk index for the financial sector in Mexico. We classify a sample of tweets for the period 2006-2019 to identify messages in response to positive or negative shocks to the Mexican financial sector. We use a...
Persistent link: https://www.econbiz.de/10012520221
We apply sentiment analysis to Twitter messages in Spanish to build a sentiment risk index for the financial sector in Mexico. We classify a sample of tweets from 2006-2019 to identify messages in response to a positive or negative shock to the Mexican financial sector, relative to merely...
Persistent link: https://www.econbiz.de/10012659015
Area banks in a ‘green' and a ‘brown' scenario. We find that direct and indirect exposures to climate …, the portion of banks' loan portfolios exposed to these sectors is comparable to banks' capital. Our results suggest that …
Persistent link: https://www.econbiz.de/10012855741
This simulator seminar book includes twelve chapters dealing with various aspects of quantitative analysis of financial market infrastructures. The topics include, among others, systemic risks, participant behavior, and new monitoring methods of various payment systems. The methodologies vary...
Persistent link: https://www.econbiz.de/10012148914
(SVaR). Under the SVaR metric, the contribution of individual banks to systemic risk is well defined and can be approximated … bank's individual contribution to systemic risk diverges from the optimal macroprudential capitalization of the banks from …
Persistent link: https://www.econbiz.de/10010339532
This paper examines the relationship between oil price movements and systemic risk of many financial institutions in major petroleum-based economies. We estimate ΔCoVaR for those institutions and thereby observe the presence of elevated increases in the levels corresponding to the subprime and...
Persistent link: https://www.econbiz.de/10012062097
Persistent link: https://www.econbiz.de/10012196765