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Measuring the Systemic Importance of Interconnected Banks
Drehmann, Mathias - 2014
We develop a measure of systemic importance that accounts for the extent to which a bank propagates shocks across the banking system and is vulnerable to propagated shocks. Based on Shapley values, this measure gauges the contribution of interconnected banks to systemic risk, in contrast to...
Persistent link: https://www.econbiz.de/10013067911
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Systemic importance: some simple indicators
Drehmann, Mathias; Tarashev, Nikola A. - In: BIS quarterly review : international banking and … (2011), pp. 25-37
Persistent link: https://www.econbiz.de/10008935305
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Measuring Systemic Risk and Assessing Systemic Importance in Global and Regional Financial Markets using the ESS-Indicator
Lahmann, Wolfgang - 2012
In this paper we propose a measure of systemic risk in the financial sector, the Expected Systemic Shortfall (ESS) indicator. The ESS-indicator is the product of the probability of a systemic default event and the expected tail loss in case this systemic event occurs. We compute the...
Persistent link: https://www.econbiz.de/10013114313
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How useful is market information for the identification of G-SIBs?
Busch, Pascal; Cappelletti, Giuseppe; Marincas, Vlad; … - 2021
The Basel Committee on Banking Supervision (BCBS) framework used to identify global systemically important banks (G-SIBs) is based on banks’ balance sheet information, leaving information derived from market data untapped. Among the most widely used market-based systemic risk measures, Adrian...
Persistent link: https://www.econbiz.de/10012607650
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Systemic risk: an overview
Zeldea, Cristina Georgiana - In: Financial studies 23 (2019) 3, pp. 35-48
for authors to develop appropriate measurement techniques.Given the continuously changing nature of the financial system …, measurement tools have developed quickly to address diverse and progressively more complex aspects, thereby adding to the issue of … systemic risk approaches, from definition to a selection of measurement instruments.Valuable steps have been made towards …
Persistent link: https://www.econbiz.de/10012146184
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SRISK : a conditional capital shortfall measure of systemic risk
Brownlees, Christian; Engle, Robert F. - 2017
We introduce SRISK to measure the systemic risk contribution of a financial firm. SRISK measures the capital shortfall of a firm conditional on a severe market decline, and is a function of its size, leverage and risk. We use the measure to study top US financial institutions in the recent...
Persistent link: https://www.econbiz.de/10011975954
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Option Implied Measures of Systemic Risk in the US Financial Sector : Operator and Quadrature Measures of Extreme Events
Zhang, Yang - 2017
Eigenfunction and quadrature methods have been extensively used in asset pricing as a forecasting tool. In contrast, their application to systemic risk has been limited. With the advent of high frequency options panels we document a battery of measures that can be used to measure and forecast...
Persistent link: https://www.econbiz.de/10012967021
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Divergence of risk indicators and the conditions for market discipline in banking
Forssbæck, Jens - 2011
Accurate measurement of bank risk is a matter of considerable importance for bank regulation and supervision. Current …
Persistent link: https://www.econbiz.de/10011710809
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Measuring the Systemic Importance of Banks
Moratis, George - 2020
CDS movements. We apply this to all banks that issue publicly traded CDS contracts among the world's biggest 150 and …
Persistent link: https://www.econbiz.de/10012830827
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Identifying SIFIs and SINFIs : New Perspectives in Measuring Systemic Risk
Agarwal, Natasha; Arora, Sanchit; Behl, Akhil; Grover, … - 2016
This paper analyses the systemic risk in an emerging market context, with two innovations. It uses the average of the percentile ranking of three widely used measures of systemic risk of a firm to calculate a single systemic risk index (SRI) for the firm. It then uses the SRI to identify...
Persistent link: https://www.econbiz.de/10014148612