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Forward-looking tail risk exposures at US Bank Holding Companies
Knaup, Martin; Wagner, Wolf - In: Journal of financial services research : JFSR 42 (2012) 1/2, pp. 35-54
Persistent link: https://www.econbiz.de/10009714851
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Diversification can control probability of default or risk, but not both
Cadenas, Pedro; Gzyl, Henryk - In: Journal of risk and financial management : JRFM 14 (2021) 2/73, pp. 1-10
One of the controversies of diversification is that it may not be beneficial to banks, as it tends to increase systemic … example, what is the smallest loss with that probability. In a banking system, a systemic crisis occurs when all banks default …
Persistent link: https://www.econbiz.de/10012484095
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Back to the basics in banking? A micro-analysis of banking system stability
De Jonghe, Olivier - 2009
This paper analyzes the relationship between banks’ divergent strategies toward specialization and diversification of … financial activities and their ability to withstand a banking sector crash. We first generate market-based measures of banks … probability of a sharp decline in a bank’s stock price conditional on a crash in a banking index. Subsequently, the impact of (the …
Persistent link: https://www.econbiz.de/10011506687
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Forecasting systemic impact in financial networks
Hautsch, Nikolaus; Schaumburg, Julia; Schienle, Melanie - In: International journal of forecasting 30 (2014) 3, pp. 781-794
Persistent link: https://www.econbiz.de/10010515583
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Commodity market risk from 1995 to 2013 : an extreme value theory approach
Fretheim, Torun; Kristiansen, Glenn - In: Applied economics 47 (2015) 25/27, pp. 2768-2782
Persistent link: https://www.econbiz.de/10010519613
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Backtesting expected shortfall : accounting for tail risk
Du, Zaichao; Escanciano, Juan Carlos - 2015
Persistent link: https://www.econbiz.de/10010532092
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Tail risk in energy portfolios
González-Pedraz, Carlos; Moreno, Manuel; Peña … - In: Energy economics 46 (2014), pp. 422-434
Persistent link: https://www.econbiz.de/10011298962
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Tail risk in hedge funds : a unique view from portfolio holdings
Agarwal, Vikas; Ruenzi, Stefan; Weigert, Florian - 2015 - This Version: May 10, 2015
We develop a new tail risk measure for hedge funds to examine the impact of tail risk on fund performance and to identify the sources of tail risk. We find that tail risk affects the cross-sectional variation in fund returns, and investments in both, tailsensitive stocks as well as options,...
Persistent link: https://www.econbiz.de/10011308031
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The value of tail risk hedging in defined contribution plans : what does history tell us
Basu, Anup K.; Drew, Michael E. - In: Journal of pension economics and finance 14 (2015) 3, pp. 240-265
Persistent link: https://www.econbiz.de/10011338273
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Tail risk in hedge funds : a unique view from portfolio holdings
Agarwal, Vikas; Ruenzi, Stefan; Weigert, Florian - 2015 - This version: May 10, 2015
We develop a new systematic tail risk measure for equity-oriented hedge funds to examine the impact of tail risk on fund performance and to identify the sources of tail risk. We find that tail risk affects the cross-sectional variation in fund returns, and investments in both, tail-sensitive...
Persistent link: https://www.econbiz.de/10011344453