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Systemic Risk Allocation for Systems with a Small Number of Banks

Qin, Xiao - 2013

financial institutions (G-SIFIs) to evaluate the cross sections and dynamics of the systemic risk allocation. We show that … allocating systemic risk according to either size or individual risk is imperfect and can be unfair. Between the allocation with … respect to individual risk and that with respect to size, the former is less unfair. On the time dimension, both allocation …

Persistent link: https://www.econbiz.de/10013081632

Systemic risk allocation for systems with a small number of banks

Qin, Xiao; Chen Zhou - 2013

Persistent link: https://www.econbiz.de/10009746621

Measuring Systemic Risk : Copula CoVaR

Chen, Kuan-Heng - 2015

Although copula modeling has been applied in a growing number of financial applications, high-dimensional copula modeling is still in its early stages. Vine copula modeling not only has the advantage of extending to higher dimensions easily, but also provides a more flexible measure to capture...

Persistent link: https://www.econbiz.de/10013033081

Measuring Capital at Risk in the UK banking sector: a microstructural network approach

Covi, Giovanni; Brookes, James; Raja, Charumathi - 2022

Persistent link: https://www.econbiz.de/10013286826

Quantifying financial stability trade-offs for monetary policy : a quantile VAR approach

Chavleishvili, Sulkhan; Kremer, Manfred; Lund-Thomsen, … - 2023

We propose a novel empirical approach to inform monetary policymakers about the potential effects of policy action when facing trade-offs between financial and macroeconomic stability. We estimate a quantile vector autoregression (QVAR) for the euro area covering the real economy, monetary...

Persistent link: https://www.econbiz.de/10014343148

Ring-fencing in financial networks

Bardoscia, Marco; Pang, Raymond Ka-Kay - 2023

Persistent link: https://www.econbiz.de/10014384578

Short-selling, leverage and systemic risk

Pais, Amelia; Stork, Philip - 2013

During the Global Financial Crisis, regulators imposed short-selling bans to protect financial institutions. The rationale behind the bans was that "bear raids", driven by short-sellers, would increase the individual and systemic risk of financial institutions, especially for institutions with...

Persistent link: https://www.econbiz.de/10010226885

TENET : Tail-Event driven NETwork risk

Härdle, Wolfgang; Sirotko-Sibirskaya, Natalia; Wang, … - 2014

We propose a semiparametric measure to estimate systemic interconnectedness across financial institutions based on tail-driven spill-over effects in a ultra-high dimensional framework. Methodologically, we employ a variable selection technique in a time series setting in the context of a...

Persistent link: https://www.econbiz.de/10010428185

Basis risk, procyclicality, and systemic risk in the Solvency II equity risk module

Eling, Martin; Pankoke, David836228189 - 2013

Persistent link: https://www.econbiz.de/10010410034

Complex financial networks and systemic risk : a review

Bougheas, Spiros P.; Kirman, Alan P. - 2014

In this paper we review recent advances in financial economics in relation to the measurement of systemic risk. We start by reviewing studies that apply traditional measures of risk to financial institutions. However, the main focus of the review is on studies that use network analysis paying...

Persistent link: https://www.econbiz.de/10010344807