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Systemic risk and sovereign debt in the Euro area
Radev, Deyan - 2013
We introduce a new measure of systemic risk, the change in the conditional joint probability of default, which assesses the effects of the interdependence in the financial system on the general default risk of sovereign debtors. We apply our measure to examine the fragility of the European...
Persistent link: https://www.econbiz.de/10010327804
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Contagion effects of the Silicon Valley Bank run
Choi, Dong Beom; Goldsmith-Pinkham, Paul; Yorulmazer, Tanju - 2023
This paper analyzes the contagion effects associated with the failure of Silicon Valley Bank (SVB) and identifies bank …
Persistent link: https://www.econbiz.de/10014540982
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Essays on bank runs, contagion and systemic risk
Yorulmazer, Tanju - 2003
Persistent link: https://www.econbiz.de/10003386151
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Too interconnected to fail : a survey of the interbank networks literature
Hüser, Anne-Caroline - In: The journal of network theory in finance 1 (2015) 3, pp. 1-50
Persistent link: https://www.econbiz.de/10011399495
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Crossborder financial contagion to Germany : how important are OTC dealers?
Podlich, Natalia; Wedow, Michael - In: International review of financial analysis 33 (2014), pp. 1-9
Persistent link: https://www.econbiz.de/10010520093
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A simulation approach to evaluate systemic risk
Brämer, Patrick; Gischer, Horst; Lücke, Christine - In: European journal of political economy 34 (2014), pp. 53-64
Persistent link: https://www.econbiz.de/10011283953
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The credit quality channel : modeling contagion in the interbank market
Fink, Kilian; Krüger, Ulrich; Meller, Barbara; Wong, … - 2015
We propose an algorithm to model contagion in the interbank market via what we term the credit quality channel. In … existing models on contagion via interbank credit, external shocks to banks often spread to other banks only in case of a … questions. For that purpose, we propose to measure the potential cost of contagion of a given shock scenario by the aggregated …
Persistent link: https://www.econbiz.de/10011381702
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Interconnectedness of financial conglomerates
Hauton, Gae͏̈l; Héam, Jean-Cyprien - In: Risks : open access journal 3 (2015) 2, pp. 139-163
Being active in both the insurance sector and the banking sector, financial conglomerates intrinsically increase the interconnections between the banking sector and the insurance sector. We address two main concerns about financial conglomerates using a unique database on bilateral exposures...
Persistent link: https://www.econbiz.de/10011299516
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Vulnerable banks
Greenwood, Robin; Landier, Augustin; Thesmar, David - In: Journal of financial economics 115 (2015) 3, pp. 471-485
Persistent link: https://www.econbiz.de/10011347454
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Systemic risk in the European Union : a network approach to banks' sovereign debt exposures
Westphal, Annika - In: International Journal of Financial Studies : open … 3 (2015) 3, pp. 244-279
portfolio contagion. In a complementary regression analysis, the effect of counterparty risk on Credit Default Swap (CDS …
Persistent link: https://www.econbiz.de/10011312216