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-carbon economy, namely, orderly transition, disorderly transition, and no transition (hot house world). We describe three systemic … risk metrics computed from a copula-based model of dependence between financial firm returns and financial asset market … returns: climate transition expected returns, climate transition value-at-risk, and climate transition expected shortfall …
Persistent link: https://www.econbiz.de/10013491591
financial risk and impact financial stability. This paper explores the specific features of climate-related financial risks … policy-makers have in the face of such risk. It finds that there are significant challenges associated with ‘greening …
Persistent link: https://www.econbiz.de/10012427917
. Specifically, we introduce a measure called CRISK, systemic climate risk, which is the expected capital shortfall of a financial … institution in a climate stress scenario. We use the measure to study the climate-related risk exposure of large global banks in …
Persistent link: https://www.econbiz.de/10012625820
. Other systemically important institutions bear more individual market risk. The two groups and the global financial system …
Persistent link: https://www.econbiz.de/10012219367
Our paper investigates Indonesia's systemically important banks (SIBs) using theoretical approaches-CoVaR, marginal expected shortfall (MES), and SRISK-to compare with the Basel guidelines as benchmark. We use Indonesian banks' market and supervisory data over the 2008-2019 period. The research...
Persistent link: https://www.econbiz.de/10012622472
Recent econometric evidence has noticeably changed views on the desirability and the appropriate design of explicit Deposit Insurance Schemes (DIS). The purpose of this paper is to take a second look at the data. After surveying recent empirical work and providing a theoretical framework, we...
Persistent link: https://www.econbiz.de/10010440433
Persistent link: https://www.econbiz.de/10014426292
We analyze link between mortgage-related regulatory penalties levied on banks and the level of systemic risk in the U ….S. banking industry. We employ a frequency decomposition of volatility spillovers to draw conclusions about system-wide risk … the public, long-term systemic risk among banks tends to increase. In contrast, a settlement with regulatory authorities …
Persistent link: https://www.econbiz.de/10012061369
We develop a dynamic computational network model of the banking system where fire sales provide the amplification mechanism of financial shocks. Each period a finite number of banks offers a large, but finite, number of loans to households. Banks with excess liquidity also offer loans to other...
Persistent link: https://www.econbiz.de/10014490902
We propose to pool alternative systemic risk rankings for financial institutions using the method of principal … components. The resulting overall ranking is less affected by estimation uncertainty and model risk. We apply our methodology to … disentangle the common signal and the idiosyncratic components from a selection of key systemic risk rankings that are recently …
Persistent link: https://www.econbiz.de/10010532581