In crisis times, insurance companies might feel the pressure to present a performance of their investment portfolios that is superior to the market, since investment portfolios back the claims of policyholders and serve as a signal for the claims' safety. I seek to show whether a stock market...

In crisis times, insurance companies might feel the pressure to present an investment portfolio performance that is superior to the market, since investment portfolios back the claims of policyholders and serve as a signal for the claims' safety. I investigate how a stock market crisis as...

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 default. In contrast, shocks are transmitted via asset...

Since the European Central Bank’s (ECB’s) 2003 strategy review, the importance of macro-financial amplification channels for monetary policy has increasingly gained recognition. This paper takes stock of this evolution and discusses the desirability of further incremental enhancements in the...

Since the European Central Bank’s (ECB’s) 2003 strategy review, the importance of macro-financial amplification channels for monetary policy has increasingly gained recognition. This paper takes stock of this evolution and discusses the desirability of further incremental enhancements in the...

Since the Global Financial Crisis of 2008-2009, the importance of non-bank financial institutions in macroprudential management has increased significantly. Consequently, major countries and international financial institutions have been actively discussing and implementing macroprudential...

This paper used an economic model of systemic risk given by Acharya (2016) to measure the state of systemic risk in Indian financial market during COVID-19 Pandemic. It is based on marginal expected shortfall (MES), the likelihoods of a financial firm to be undercapitalized when the financial...

Motivated by a recognition of the increased vulnerability of the banking sector to the COVID-19 pandemic, we examine market-based systemic risk and connectedness in the banking sector of Gulf Cooperation Council member countries, which include Bahrain, Kuwait, the Kingdom of Saudi Arabia (KSA),...