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-carbon economy, namely, orderly transition, disorderly transition, and no transition (hot house world). We describe three systemic … risk metrics computed from a copula-based model of dependence between financial firm returns and financial asset market … returns: climate transition expected returns, climate transition value-at-risk, and climate transition expected shortfall …
Persistent link: https://www.econbiz.de/10013491591
. Specifically, we introduce a measure called CRISK, systemic climate risk, which is the expected capital shortfall of a financial … institution in a climate stress scenario. We use the measure to study the climate-related risk exposure of large global banks in …
Persistent link: https://www.econbiz.de/10012625820
rationale behind the bans was that "bear raids", driven by short-sellers, would increase the individual and systemic risk of … specifically target institutions with lower capital levels. Furthermore, institutions' risk-levels and changes in short …
Persistent link: https://www.econbiz.de/10010226885
We investigate the extent to which various structural risks exacerbate the materialization of cyclical risk. We use a … role in explaining the severity of cyclical and credit risk materialization during financial cycle contractions. Among …
Persistent link: https://www.econbiz.de/10013391113
We examine the systemic risk of 61 SIFIs (i.e., 33 G-SIBs and 28 IAIGs) between 2010 and 2023. We estimate SIFI’s CoVaR … using a single index model with LASSO variable selection and construct a set of tail risk network-based systemic risk …’s systemic risk. We also find that the systemic risk of G-SIB Grangerly causes the systemic risk of IAIG, but not vice versa. Our …
Persistent link: https://www.econbiz.de/10014353564
. Other systemically important institutions bear more individual market risk. The two groups and the global financial system …
Persistent link: https://www.econbiz.de/10012219367
Persistent link: https://www.econbiz.de/10014426292
We develop a dynamic computational network model of the banking system where fire sales provide the amplification mechanism of financial shocks. Each period a finite number of banks offers a large, but finite, number of loans to households. Banks with excess liquidity also offer loans to other...
Persistent link: https://www.econbiz.de/10014490902
We propose to pool alternative systemic risk rankings for financial institutions using the method of principal … components. The resulting overall ranking is less affected by estimation uncertainty and model risk. We apply our methodology to … disentangle the common signal and the idiosyncratic components from a selection of key systemic risk rankings that are recently …
Persistent link: https://www.econbiz.de/10010532581
Conditional value at risk (CoVaR) and marginal expected shortfall (MES) have been proposed as measures of systemic risk …. Some argue these statistics should be used to impose a “systemic risk tax” on financial institutions. These recommendations … systematic risk; and, (3) poorly measure asymptotic tail dependence in stock returns. We introduce a null hypothesis to separate …
Persistent link: https://www.econbiz.de/10014150174