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Measuring and testing for the systemically important financial institutions
Castro Iragorri, Carlos Alberto; Ferrari, Stijn - 2012
This paper analyses Delta CoVaR proposed by Adrian and Brunnermeier (2008) as a tool for identifying/ranking systemically important institutions and assessing interconnectedness. We develop a test of significance of Delta CoVaR that allows determining whether or not a financial institution can...
Persistent link: https://www.econbiz.de/10011590621
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A network model of financial system resilience
Anand, Kartik; Gai, Prasanna; Kapadia, Sujit; Brennan, Simon - 2012
Persistent link: https://www.econbiz.de/10009619091
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The effect of the interbank network structure on contagion and financial stability
Georg, Co-Pierre - 2010
influence of the network topology on contagion in financial networks. This paper therefore compares contagion in Barabási … deposits. Contagion effects from the default of a large bank are studied in different network topologies. The results indicate … that contagion is more severe in random and scale-free networks than in small-world networks. This situation changes when …
Persistent link: https://www.econbiz.de/10009012483
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A multi-level network approach to spillovers analysis : an application to the Maltese domestic investment funds sector
Meglioli, Francesco; Gauci, Stephanie - 2021
In this paper we present a new approach to analyse the interconnectedness between a macro-level network and a local-level network. Our methodology is developed on the Diebold and Yilmaz connectedness measure and it considers the presence of entities within a global network which can influence...
Persistent link: https://www.econbiz.de/10012603304
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Size and complexity in model financial systems
Arinaminpathy, Nimalan; Kapadia, Sujit; May, Robert - 2012
Persistent link: https://www.econbiz.de/10009671779
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The systemic risk of US oil and natural gas companies
Massimiliano, Caporin; Fulvio, Fontini; Roberto, Panzica - 2022
We analyse the evolution of the systemic risk impact of oil and natural gas companies since 2000. This period is characterised by several events that affected energy source markets: the real effect of the global financial crisis, the explosion of shale production and the diffusion of the...
Persistent link: https://www.econbiz.de/10013358988
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Systemic risk in networks with a central node
Amini, Hamed; Filipović, Damir; Minca, Andreea - 2020
We examine the effects on a financial network of clearing all contracts though a central node (CN) thereby transforming the original network into a star-shaped one. The CN is capitalized with external equity and a guaranty fund. We introduce a structural systemic risk measure that captures the...
Persistent link: https://www.econbiz.de/10012180475
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Systemic effects of bank equity issues : competition, stabilization and contagion
Dinger, Valeriya; Marincas, Vlad; Vallascas, Francesco - 2018
We evaluate the abnormal returns of issuing and non-issuing banks around the announcement of Seasoned Equity Offerings (SEOs) and explore how the market reaction is influenced by aggregate systemic conditions and by the systemic risk contribution and exposure of banks. While we find evidence of...
Persistent link: https://www.econbiz.de/10011791471
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Cocos, contagion and systemic risk
Chan, Stephanie; Wijnbergen, Sweder van - 2014
CoCo's (contingent convertible capital) are designed to convert from debt to equity when banks need it most. Using a Diamond-Dybvig model cast in a global games framework, we show that while the CoCo conversion of the issuing bank may bring the bank back into compliance with capital...
Persistent link: https://www.econbiz.de/10010395088
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Contingent convertibles : can the market handle them?
Kiewiet, Gera; Lelyveld, Iman van; Wijnbergen, Sweder van - 2017
The recent financial crisis has led to the introduction of contingent convertible instruments (CoCos) in the capital framework for banks. Although CoCos can provide benefits, such as automatic recapitalization of troubled banks, their inherent risks raise questions about whether they increase...
Persistent link: https://www.econbiz.de/10011735242