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We propose a credit portfolio approach for evaluating systemic risk and attributing it across institutions. We construct a model that can be estimated from high-frequency CDS data. This captures risks from privately held institutions and cooperative banks, extending approaches that rely on...
Persistent link: https://www.econbiz.de/10013202709
We propose a credit portfolio approach for evaluating systemic risk and attributing it across institutions. We construct a model that can be estimated from high-frequency CDS data. This captures risks from publicly traded banks, privately held institutions, and coöperative banks, extending...
Persistent link: https://www.econbiz.de/10014280065
results highlight the importance of the starting level of bank capital, bank asset quality, and banks' adjustments for the …
Persistent link: https://www.econbiz.de/10012033284
-stage fixed-effects quantile approach, which explicitly links bank interconnectedness to systemic risk contributions. The … equity and CDS prices. We provide new evidence on how banking sector fragmentation and sovereign-bank linkages evolved over …
Persistent link: https://www.econbiz.de/10010411283
sector fragmentation and sovereign-bank linkages evolved over the European sovereign debt crisis, and how they are reflected …
Persistent link: https://www.econbiz.de/10011414705
range of real sectors is limited. Our results imply that regulators and supervisors should address international bank … dependencies arising from common risk factors, while recessions in real sectors due to bank defaults should be a secondary concern. …
Persistent link: https://www.econbiz.de/10009784871
sources of systemic risk: (i) linkages between local banks, and (ii) linkages between a foreign par- ent bank and its local … foreign parent bank to its local subsidiary is substantially smaller than the risk between two local banks. …
Persistent link: https://www.econbiz.de/10010344152
We propose a methodology for measuring the market-implied capital of banks by subtracting from the market value of equity (market capitalization) a credit-spread-based correction for the value of shareholders' default option. We show that without such a correction, the estimated impact of a...
Persistent link: https://www.econbiz.de/10013168743
We apply text analysis to Twitter messages in Spanish to build a sentiment- based risk index for the financial sector in Mexico. We classify a sample of tweets for the period 2006-2019 to identify messages in response to positive or negative shocks to the Mexican financial sector. We use a...
Persistent link: https://www.econbiz.de/10012520221
We investigate the information content of stock correlation based network measures for systemic risk rankings, such as SIFIRank (based on Google's PageRank). Using European banking data, we first show that SIFIRank is empirically equivalent to a ranking based on average pairwise stock...
Persistent link: https://www.econbiz.de/10011531142