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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
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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firms that comprises all bank holding companies, all broker-dealers, and all insurance companies, and consider their entire …
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expose all of us to catastrophic harm, are increasingly common in the modern world. --Book Jacket …
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"In late 2008, the world's financial system was teetering on the brink of systemic collapse. While the impacts of the … occur in the future? This book draws on some of the world's leading experts on financial stability and regulation to examine …-in tools; and bank leverage, welfare and regulation. Drawing on experts across disciplines — including Howell Jackson, John …
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