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A macroprudential contagion stress test framework
Bjørland, Christian; Kockerols, Thore - 2020
shock to bank capital at the macro level. The framework looks at how fire sales of common asset holdings can lead to …
Persistent link: https://www.econbiz.de/10012240728
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Tackling the volatility paradox: spillover persistence and systemic risk
Kubitza, Christian - 2021 - This version: April 13, 2021
This paper proposes Spillover Persistence as a measure for financial fragility. The volatility paradox predicts that fragility builds up when volatility is low, which challenges existing measures. Spillover Persistence tackles this challenge by exploring a novel dimension of systemic risk: loss...
Persistent link: https://www.econbiz.de/10012499703
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What makes systemic risk systemic? : contagion and spillovers in the international sovereign debt market
Kalotychou, Elena; Remolona, Eli M.; Wu, Eliza - 2014
Persistent link: https://www.econbiz.de/10010355121
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What Makes Systemic Risk Systemic? Contagion and Spillovers in the International Sovereign Debt Market
Kalotychou, Elena - 2014
sovereigns within the region and in the rest of the world. Although a few events had effects that were global in scope, we find …
Persistent link: https://www.econbiz.de/10013055684
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Markets connectivity and financial contagion
Grilli, Ruggero; Tedeschi, Gabriele; Gallegati, Mauro - In: Journal of economic interaction and coordination : JEIC 10 (2015) 2, pp. 287-304
Persistent link: https://www.econbiz.de/10011378825
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A multi-level network approach to spillovers analysis : an application to the Maltese domestic investment funds sector
Meglioli, Francesco; Gauci, Stephanie - 2021
In this paper we present a new approach to analyse the interconnectedness between a macro-level network and a local … therefore, investment funds may potentially become a shock transmission channel. …
Persistent link: https://www.econbiz.de/10012603304
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Financial spillover and global risk in a multi-region model of the world economy
Croitorov, Olga; Giovannini, Massimo; Hohberger, Stefan; … - In: Journal of economic behavior & organization : JEBO 177 (2020), pp. 185-218
Persistent link: https://www.econbiz.de/10012437314
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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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Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction
Di Gangi, Domenico; Lillo, Fabrizio; Pirino, Davide - In: Journal of economic dynamics & control 94 (2018), pp. 117-141
Persistent link: https://www.econbiz.de/10012004377
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Risk sharing and amplification in the global banking network
Shen, Leslie Sheng; Zhang, Tony - 2024 - This version: April 2024
become less elastic over time, resulting in a decline in risk sharing. While shock amplification has also declined on average …
Persistent link: https://www.econbiz.de/10014529108