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Contagion testing in embryonic markets under alternative stressful US market scenarios
Mahadeo, Scott M. R.; Heinlein, Reinhold; Legrenzi, … - 2019
contagion tests for recipient markets vulnerable to disturbances from this source market. The S&P 500 is decomposed into …
Persistent link: https://www.econbiz.de/10012156543
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Financial network systemic risk contributions
Hautsch, Nikolaus; Schaumburg, Julia; Schienle, Melanie - 2012
We propose the realized systemic risk beta as a measure for financial companies' contribution to systemic risk given network interdependence between firms' tail risk exposures. Conditional on statistically pre-identified network spillover effects and market and balance sheet information, we...
Persistent link: https://www.econbiz.de/10009583171
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Financial network systemic risk contributions
Hautsch, Nikolaus; Schaumburg, Julia; Schienle, Melanie - 2011
We propose the systemic risk beta as a measure for financial companies' contribution to systemic risk given network interdependence between firms' tail risk exposures. Conditional on statistically pre-identified network spillover effects and market and balance sheet information, we define the...
Persistent link: https://www.econbiz.de/10009349100
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Coexceedance in the US and the UK Stock Markets : An Analysis of Contagion During the 2007-2009 Financial Crisis
Chevapatrakul, Thanaset - 2013
In this paper, we empirically analyze the effect of the credit crisis of 2008 by adopting coexceedance as a contagion … contagion effects on the lower quantiles of the distribution of the coexceedance throughout the period for most of the countries … rescuing the troubled banking sector may have exacerbated this contagion effect. Establishing this, however, remain an area for …
Persistent link: https://www.econbiz.de/10013087858
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Fed’s Unconventional Monetary Policy and Risk Spillover in the US Financial Markets
Balcilar, Mehmet - 2019
This study examines volatility spillover dynamics among the S&P 500 index, the US 10-year Treasury yield, the US dollar index futures and the commodity price index. The focus of the study is to analyze effects of Fed's unconventional monetary policy on the US financial markets. We use realized...
Persistent link: https://www.econbiz.de/10012893224
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Tail Risk Connectedness Between US Industries
Nguyen, Linh - 2018
We use the Least Absolute Shrinkage and Selection Operator (LASSO) quantile regression technique to construct and analyse the complete tail risk connectedness network of the whole US industry system. We also investigate the empirical relationship between input-output linkages and the tail risk...
Persistent link: https://www.econbiz.de/10012918493
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The Sources of Risk Spillovers Among US REITs : Financial Characteristics and Regional Proximity
Adams, Zeno - 2016
In this paper, we estimate the risk spillovers among 74 U.S. REITs using the state-dependent sensitivity value-at-risk (SDSVaR) approach. This methodology allows for the quantification of the spillover size as a function of a company's financial condition (tranquil, normal, and volatile REIT...
Persistent link: https://www.econbiz.de/10013007129
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The Sources of Risk Spillovers Among U.S. REITs : Financial Characteristics and Regional Proximity
Adams, Zeno - 2016
In this paper, we estimate the risk spillovers among 74 U.S. REITs using the state-dependent sensitivity value-at-risk (SDSVaR) approach. This methodology allows for the quantification of the spillover size as a function of a company's financial condition (tranquil, normal, and volatile REIT...
Persistent link: https://www.econbiz.de/10013007702
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The empirical relation between credit quality, recovery and correlation
Rösch, Daniel; Scheule, Harald - 2009
Credit risk is an important issue in many finance areas, such as the determination of cost of capital, the valuation of corporate bonds and pricing of credit derivatives. Credit risk has also been a cause and consequence of the current financial crisis. Thus, methods for measuring credit risk,...
Persistent link: https://www.econbiz.de/10003846062
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The Impact of Financial Distress on CEO Compensation in the United States
Verhasselt, Gertjan - 2017
This M.A. dissertation presents a study of the influence of financial distress on CEO compensation in the United States. It focuses on the four main components of executive compensation: salary, bonus, restricted stock and stock options. More specifically, I apply linear regression to panel data...
Persistent link: https://www.econbiz.de/10012944997