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systemic risk, including models for the three main channels of contagion: counterparty loss, overlapping portfolios and funding … channels of contagion, models with learning and limited deductive reasoning that can survive the Lucas critique, and practical … banks …
Persistent link: https://www.econbiz.de/10011906282
Persistent link: https://www.econbiz.de/10012256016
We provide a comprehensive analysis of the determinants of trading in the sovereign credit default swaps (CDS) market, using weekly data for single-name sovereign CDS from October 2008 to September 2015. We describe the anatomy of the sovereign CDS market, derive a law of motion for gross...
Persistent link: https://www.econbiz.de/10011541398
existing models on contagion via interbank credit, external shocks to banks often spread to other banks only in case of a …We propose an algorithm to model contagion in the interbank market via what we term the credit quality channel. In …: First, the probability of default (PD) of those banks directly affected by some shock increases. This increases the expected …
Persistent link: https://www.econbiz.de/10011381702
This paper investigates systemic risk and contagion processes in the inter-bank network using network science methods …. The inter-bank network consisting 10 banks, similar to the real world inter-bank networks, is studied to understand the … contagion process in the network regarding changes in the network structure, as well as changes in the characteristics of …
Persistent link: https://www.econbiz.de/10011949714
Insurance companies often follow highly correlated investment strategies. As major investors in corporate bonds, their investment commonalities subject investors to fire-sale risk when regulatory restrictions prompt widespread divestment of a bond following a rating downgrade. Reflective of...
Persistent link: https://www.econbiz.de/10012936328
Insurance companies often follow highly correlated investment strategies. As major investors in corporate bonds, their investment commonalities subject investors to fire-sale risk when regulatory restrictions prompt widespread divestment of a bond following a rating downgrade. Reflective of...
Persistent link: https://www.econbiz.de/10011710064
transforms existing financial claims against ultimate borrowers that have been originated by traditional banks. Based on … non-financial private sector had been originated by shadow banks. Consequently, dampening credit creation by the …
Persistent link: https://www.econbiz.de/10011456517
This paper examines banks' disclosures and loss recognition in the financial crisis and identifies several core issues …, banks' disclosures about relevant risk exposures were relatively sparse. Such disclosures came later after major concerns … about banks' exposures had arisen in markets. Similarly, the recognition of loan losses was relatively slow and delayed …
Persistent link: https://www.econbiz.de/10012241734
financial stability. Our analysis suggests that, going into the financial crisis, banks' disclosures about relevant risk … exposures were relatively sparse. Such disclosures came later after major concerns about banks' exposures had arisen in markets …. Similarly, banks delayed the recognition of loan losses. Banks' incentives seem to drive this evidence, suggesting that …
Persistent link: https://www.econbiz.de/10012011324